PrepaymentModel: A contstructor function for the PrepaymentModel object

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

Description

The function is a constructor function for the PrepaymentModel object

Usage

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.