SpreadToPriceMBS: Spread To Price MBS

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

Description

Returns the clean price of the MBS given a prepayment speed and spread to the curve

Usage

SpreadToPriceMBS(
  bond.id,
  rates.data,
  settlement.date,
  prepayment.assumption,
  spread,
  benchmark = NULL,
  ...,
  CPR = NULL
)

Arguments

bond.id	A character string the cusip number or bond.id
rates.data	A character referencing a rates.data object
settlement.date	A character string the settlement date mm-dd-YYYY
prepayment.assumption	A character string referencing an object of Prepayment
spread	A charcter string the spread to the interpolated curve entered in basis points
benchmark	Optionally the user can pass pricing benchmark - currently this functonality is not implemented.
...	Optional values follow
CPR	A numeric value the CPR assumption used to price the MBS. For example 16 CPR is entered 16.

See Also

Other Pricing: BenchMark,CurveSpreads-method, BillPriceToYield(), BillYieldToPrice(), CurveSpreads-class, CurveSpreads, SpreadToBenchmark,CurveSpreads-method, SpreadToCurve,CurveSpreads-method, SpreadToPriceBond(), ZVSpreadToPriceBond(), ZVSpreadToPriceMBS(), ZeroVolSpread,CurveSpreads-method

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