View source: R/PrepaymentModel.R
The function is a constructor function for the PrepaymentModel object
1 2 3 4 5 6 7 8 9 10 11 12 | 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
)
|
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 |
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