Scenario-class: An S4 class Scenario

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

Description

The interest rate shift function applied the yield curve. The shift may be applied to the spot rate curve slot of the object TermStructure or the rates data object. The BondLab convention is to identify shifts applied to the sopt rate curve with a trailing for example D50s is down 50bps applied to the spot rate curve. D50 is down 50bps applied to the rates data object. In all cases the curve shift is not allowed to result in a negative rate. Thus, all shifts are subject to a floor of 0.01. It is recommend that those users wishing to create custom yield shift scenarios avoid 0 or negative rates when creating custom shift scenarios.

Slots

Name

A character the name of the scenario

Type

A character the type of scenario eg("Immediate", "Gradual")

ShiftType

A character indicating the type shift eg("Parallel", "Twist")

Shiftbps

A numeric value the interest rate shift in bps

Formula

A function defining the interest rate shift

See Also

Other Scenario Analysis: CouponIncome(), HorizonCurrBal(), HorizonCurveShift(), HorizonMos(), HorizonPrice(), HorizonReturn(), Name,Scenario-method, PrepaidPrinReceived(), PrincipalReceived(), ReinvestmentIncome(), ScenarioCurve-class, ScheduledPrinReceived()

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