Scenario: A constructor function of the class Scenario

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

Description

This is a standard generic function used to construct the class Scenario. The Scenario class is applied to the either a Rates object or a TermStructure object

Usage

Scenario(
  Name = "character",
  Type = "character",
  ShiftType = "character",
  Shiftbps = "character",
  Formula = "function"
)

Arguments

Name	A character string indicating the unique name which identifies the scenario
Type	A character string indicating the type of scenario "aggressive", "moderate"
ShiftType	A character string indicating the type interest rate shift "Parallel", "Twist", "etc"
Shiftbps	A numeric vector indicating the shift applied to each point on the curve
Formula	A function to apply the shift to each pont on the curve

Examples

## Not run: 
MakeScenario(Name = "Flat50",
Type = "Immediate",
ShiftType = "Twist",
Shiftbps = -75,
Formula = function(rates.data, Shiftbps){
as.character(as.numeric(rates.data[1,2:length(rates.data)]) + 
Shiftbps/yield.basis)})
## End(Not run)  

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