PrepaymentModel: A contstructor function for the PrepaymentModel object

Description Usage Arguments

View source: R/PrepaymentModel.R

Description

The function is a constructor function for the PrepaymentModel object

Usage

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PrepaymentModel(
  bond.id,
  term.structure,
  prepayment.assumption = "MODEL",
  ...,
  begin.cpr = 0.002,
  end.cpr = 0.06,
  seasoning.period = 30,
  cpr = 0.06,
  cdr = 0.01,
  severity = 0.25
)

Arguments

bond.id

A character string referring to an object of the type MBSDetails

term.structure

A character string referring to an object of the type TermStructure

prepayment.assumption

A character string the prepayment assumption used "MODEL", "PPC", or "CPR"

...

Optional values when "PPC" or "CPR" is used

begin.cpr

A numeric value the beginning CPR assumption

end.cpr

A numeric value the ending CPR assumption

seasoning.period

A numeric value the length of the seasoning ramp

cpr

A numeric value the CPR assumption (annual prepayment rate)

cdr

A numeric value the CDR assumption (annual default rate)

severity

A numeric value the loss severity given default


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