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 = "character", TermStructure = "character",
  MortgageRate = "character", ModelTune = "character",
  Burnout = numeric(), PrepaymentAssumption = "character", ...,
  begin.cpr = numeric(), end.cpr = numeric(),
  seasoning.period = numeric(), CPR = numeric(), CDR = 0,
  HomePrice = NULL, Severity = 0)

Arguments

bond.id

A character string referring to an object of the type MBSDetails

TermStructure

A character string referring to an object of the type TermStructure

MortgageRate

A character string the input value of mortgagerate.rds. Prepayment Assumption does not open Mtg.Rate connection directly rather takes the argument as an object.

ModelTune

A character string the prepayment model tune object

Burnout

A numeric value the burnout variable

PrepaymentAssumption

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)

HomePrice

NULL do not override value

Severity

A numeric value the loss severity given default


glennmschultz/BondLab documentation built on Nov. 8, 2017, 6:27 p.m.