ZVSpreadToPriceMBS: ZV Spread to price MBS

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

Description

Returns the clean price of an MBS pass throughv via PriceTypes object given a spread to the spot rate curve. Market convention is to quote spread to the spot rate curve in basis points. Bond Lab follows the market convection. The user specified spread to the benchmark in basis points.

Usage

ZVSpreadToPriceMBS(
  bond.id,
  settlement.date,
  term.structure,
  prepayment.assumption,
  ZV.spread,
  ...,
  CPR = NULL
)

Arguments

bond.id	a character or connection to object of type BondDetails
settlement.date	a character the settlement date 'mm-dd-yyyy'
term.structure	a character string referencing an object of type rates data
prepayment.assumption	a character string referencing an object of type Prepayment
ZV.spread	a character the spread to the spot rate curve quoted in basis points
...,	optional values follow
CPR	The user may specify a CPR to over riding the prepayment model

See Also

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

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