PrepaymentModel-class: A S4 Class prepayment vectors which are passed to cash flow...

In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

Description

The PrepaymentClass class is used to pass the prepayment information and SMM vectors to the MortgageCashFlow engine. It must be called in advance for cash flow calculations.

Slots

PrepaymentAssumption

A character string the type of prepayment assumption used this may be "CPR", "PPC", or "MODEL"

PPCStart

A numeric value the PPC starting CPR assumption. This is populated when PPC option is choosen

PPCEnd

A numeric value the PPC ending CPR assumption. This is populated when PPC option is choosen

PPCSeasoning

A numeric value the length of the PPC ramp. This is populated when PPC option is choosen

FirstPmtDate

A character string the first payment date

LastPmtDate

A character string the date of the last payment received by the investor

FinalPmtDate

A character string the date of the final payment received by the investor

PmtDate

A character string the payment date

LoanAge

A numeric vector the projected loan age at each payment date

Period

A numeric vector the index of the payment periods

NoteRate

A numeric vector the note rate of the MBS pool or loan

MtgRateFwd

A numeric vector the projected forward mortgage rate.

Incentive

A numeric vector the projected incentive (refinance). The difference between the note rate and the prevailing mortgage rate

SMM

A numeric vector the projected SMM (Single Monthly Mortality). SMM is the measure of voluntary repayments

MDR

A numeric vector the pojected MDR (Monthly Default Rate)

Severity

A numeric vector the loss severity given default

glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.