SDARamp: Standard default assumption ramp

Description Usage Arguments See Also

View source: R/PrepaymentFunctions.R

Description

The function is the conditional default ramp for mortgage backed securities. The function is stylized as the standard default assumption

Usage

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Arguments

BeginCDR

The beginning condition default rate

PeakCDR

The peak conditional default rate

EndCDR

The ending conditioin default

PeakMonth

The month in which the conditional default rate reaches it maximum value on the CDR curve.

PlateauMonths

The number of months during which the condition default rate remains at it maximum value.

EndMonth

The month at which the conditional default rate reaches its long term rate.

LoanAge

The age of the loan or pool WALA.

See Also

Other Prepayment and Default: BorrowerIncentive, BurnoutFunction, Seasonals, Turnover


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