sandbox/HorizonBondData.R

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

  # Bond Lab is a software application for the analysis of 
  # fixed income securities it provides a suite of applications
  # mortgage backed, asset backed securities, and commerical mortgage backed 
  # securities Copyright (C) 2016  Bond Lab Technologies, Inc.
  # 
  # This program is free software: you can redistribute it and/or modify
  # it under the terms of the GNU General Public License as published by
  # the Free Software Foundation, either version 3 of the License, or
  # (at your option) any later version.
  # 
  # This program is distributed in the hope that it will be useful,
  # but WITHOUT ANY WARRANTY; without even the implied warranty of
  # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
  # GNU General Public License for more details.
  #
  # You should have received a copy of the GNU General Public License
  # along with this program.  If not, see <http://www.gnu.org/licenses/>.

  # ===========================================================================
  # These functions create temp horizon bond data for scenario analysis
  # the intention of these functions is to "roll forward" the cusip data 
  # for horizon pricing - OAS, spot spread or nominal spread to the curve
  # ===========================================================================
  
  #' A Function to "Roll Forward" the pass through cusip object (MBS Details)
  #' 
  #' A standard generic function to roll forward MBS cusip detail to the 
  #' scenario horizon for pricing using spot spread, nominal spread, 
  #' or option adjusted spread
  #' @param bond.id A character string referring to an object type of MBSDetails
  #' @param original.bal A numeric value the original balance
  #' @param projected.cashflow A character string referring to an object type 
  #' of MortgageCashFlows
  #' @param horizon.months A numeric value the investment horizon in months
  #' @export ForwardPassThrough
  ForwardPassThrough <- function(bond.id = "character",
                                 original.bal = numeric(),
                                 projected.cashflow = "character",
                                 horizon.months = numeric()){
  TempBond <- bond.id
  
  # Use the projected cashflow to determine the current balance outstanding
  # at the end of the horizon
  SchedPrincipal <- ScheduledPrin(projected.cashflow)[1:horizon.months]
  PrepaidPrincipal <- PrepaidPrin(projected.cashflow)[1:horizon.months]
  DefaultedPrincipal <- DefaultedPrin(projected.cashflow)[1:horizon.months]
  TotalPrincipal <- sum(SchedPrincipal) + 
      sum(PrepaidPrincipal) + 
      sum(DefaultedPrincipal)
    
  LastPmtDate(TempBond) <- as.character(format(
    as.Date(LastPmtDate(bond.id), 
            format = "%m-%d-%Y") %m+% months(horizon.months), "%m-%d-%Y"))
    
  NextPmtDate(TempBond) <- as.character(format(
    as.Date(NextPmtDate(bond.id), 
            format = "%m-%d-%Y") %m+% months(horizon.months), "%m-%d-%Y"))
    
  MBSFactor(TempBond) <- ((original.bal * MBSFactor(bond.id)) - TotalPrincipal)/
    original.bal
  
  CurrentBal(TempBond) <- CurrentBal(bond.id) - TotalPrincipal
  
  WAM(TempBond) <- WAM(bond.id) - horizon.months
  WALA(TempBond) <- WALA(bond.id) + horizon.months
    
  connTemp <-  gzfile(description = paste(system.file(
    package = "BondLab"), "/Temp_BondData/","TempPassThrough.rds", sep = ""))
  saveRDS(TempBond, connTemp)
  close(connTemp)
  }
  
  #' A Function to "Roll Forward a bond cusip object BondDetails
  #' 
  #' A standard generic function to roll forward bond details to the scenario
  #' horizon for pricing using the spot spread (nomimal spread), spread to the 
  #' benchmark, option adjusted spread or price.
  #' @param bond.id A character string referring to an object of the type BondDetails
  #' @param par.amount A numeric value the par amount of the bond
  #' @param horizon.months A numeric value the investment horizon in months
  #' @export ForwardBond
  ForwardBond <- function(bond.id = "character",
                          par.amount = numeric(),
                          horizon.months = numeric()){
    TempBond <- bond.id
    
    LastPmtDate(TempBond) <- as.character(format(
      as.Date(LastPmtDate(bond.id), 
              format = "%m-%d-%Y") %m+% months(horizon.months), "%m-%d-%Y"))
    
    NextPmtDate(TempBond) <- as.character(format(
      as.Date(NextPmtDate(bond.id), 
              format = "%m-%d-%Y") %m+% months(horizon.months), "%m-%d-%Y"))
    
    connTemp <-  gzfile(description = paste(system.file(
      package = "BondLab"), "/Temp_BondData/","TempBond.rds", sep = ""))
    saveRDS(TempBond, connTemp)
    close(connTemp)
  }