sandbox/REMICConstructor.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/>.
#' @include MBSDetails.R
NULL
#' An S4 class the REMIC At Issuance Disclosure (RAID) Information
#'
#' The RAID File contains the REMIC at issuance discloure data. The data is
#' static data describing the REMIC at the time of issuance
#' @slot DealName A character the deal name.
#' @slot Issuer A character the deal Issuer.
#' @slot DealNumber A character the deal number.
#' @slot DealPriceDate A character the pricing date of the transaction.
#' @slot DealSettlementDate A character the settlement date.
#' @slot Underwriter A character the Underwriter of the deal.
#' @slot Trustee A character the Trustee of the deal.
#' @slot PricingSpeed A numeric value the PricingSpeed of the deal.
#' @slot JumpReferenceSpeed1 A numeric value the Jump Bond Reference Speed1.
#' @slot JumpReferenceSpeed2 A numeric value the Jump Bond Reference Speed2.
#' @slot JumpReferenceSpeed3 A numeric value the Jump Bond Reference Speed3.
#' @slot JumpReferenceSpeed4 A numeric value the Jump Bond Reference Speed4.
#' @slot JumpReferenceSpeed5 A numeric value the Jump Bond Reference Speed5.
#' @slot NumberofTranches A numeric value the number of Tranches.
#' @slot NumberofComponentTranches A numeric value the number of Component
#' Tranches in the deal.
#' @slot NumberofCombinedTranches A numeric value the number of Combined
#' Tranches in the deal.
#' @slot NumberofPools A numeric value the number of pools in the deal.
#' @slot PacSchedulesIncluded A logical value the indicating if PAC Schedules
#' are included as part of the REMIC at issuance disclosure.
#' @slot NumberofPacSchedules A numeric value number of PAC Schedules reported
#' at the time of the REMIC issuance.
#' @slot NumberofGroups A numeric value the number of collateral groups in the
#' REMIC transaction.
#' @slot DealSize A numeric value the at issuance original balance of the
#' REMIC.
#' @slot CollateralAmount A numeric value the current balance of the
#' collateral at REMIC issuance.
#' @slot CollateralAvgLife A numeric value the at issuance average life of the
#' collateral.
#' @slot BondValue A numeric value the bond value.
#' @slot BondValueMethod A numeric value the bond value method.
#' @slot BondValueCap A numeric value the bond value cap.
#' @slot BondValueDiscountRate A numeric value the bond value discount rate
#' @slot BondValueReinvestmentRate A numeric value the bond value reinvestment
#' rate
#' @slot ExpenseBasisPointFee A numeric value the deal expense fee
#' in basis points.
#' @slot ExpenseFixed A numeric value the fixed expenses charged to the deal.
#' @slot ExpensePeriodicity A numeric value the frequency at which expenses
#' are charged to the deal.
#' @slot InitialReserveFund = A numeric value the initial reserve fund.
#' @exportClass RAID
setClass("RAID",
representation(
DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = "numeric",
JumpReferenceSpeed1 = "numeric",
JumpReferenceSpeed2 = "numeric",
JumpReferenceSpeed3 = "numeric",
JumpReferenceSpeed4 = "numeric",
JumpReferenceSpeed5 = "numeric",
NumberofTranches = "numeric",
NumberofComponentTranches = "numeric",
NumberofCombinedTranches = "numeric",
NumberofPools = "numeric",
PacSchedulesIncluded = "logical",
NumberofPacSchedules = "numeric",
NumberofGroups = "numeric",
DealSize = "numeric",
CollateralAmount = "numeric",
CollateralAvgLife = "numeric",
BondValue = "numeric",
BondValueMethod = "character",
BondValueCap = "numeric",
BondValueDiscountRate = "numeric",
BondValueReinvestmentRate = "numeric",
ExpenseBasisPointFee = "numeric",
ExpenseFixed = "numeric",
ExpensePeriodicity = "numeric",
InitialReserveFund = "numeric"))
setGeneric("RAID", function( DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = "numeric",
JumpReferenceSpeed1 = "numeric",
JumpReferenceSpeed2 = "numeric",
JumpReferenceSpeed3 = "numeric",
JumpReferenceSpeed4 = "numeric",
JumpReferenceSpeed5 = "numeric",
NumberofTranches = "numeric",
NumberofComponentTranches = "numeric",
NumberofCombinedTranches = "numeric",
NumberofPools = "numeric",
PacSchedulesIncluded = "logical",
NumberofPacSchedules = "numeric",
NumberofGroups = "numeric",
DealSize = "numeric",
CollateralAmount = "numeric",
CollateralAvgLife = "numeric",
BondValue = "numeric",
BondValueMethod = "character",
BondValueCap = "numeric",
BondValueDiscountRate = "numeric",
BondValueReinvestmentRate = "numeric",
ExpenseBasisPointFee = "numeric",
ExpenseFixed = "numeric",
ExpensePeriodicity = "numeric",
InitialReserveFund = "numeric")
{standardGeneric("RAID")})
#' A generic function to access the slot DealName
#'
#' @param object an S4 class object
#' @export
setGeneric("DealName", function(object)
{standardGeneric("DealName")})
# standard generic Issuer is defined in passthroughconstructor
#' A generic function to access the slot DealNumber
#'
#' @param object an S4 class object
#' @export
setGeneric("DealNumber", function(object)
{standardGeneric("DealNumber")})
#' A generic function to access the slot DealPriceDate
#'
#' @param object an S4 class object
#' @export
setGeneric("DealPriceDate", function(object)
{standardGeneric("DealPriceDate")})
#' A generic function to access the slot DealSettlementDate
#'
#' @param object an S4 class object
#' @export
setGeneric("DealSettlementDate", function(object)
{standardGeneric("DealSettlementDate")})
# standard generic Underwriter is defined in passthrough constructor
#' A generic function to access the slot Trustee
#'
#' @param object an S4 class object
#' @export
setGeneric("Trustee", function(object)
{standardGeneric("Trustee")})
#' A generic function to access the slot PricingSpeed
#'
#' @param object an S4 class object
#' @export
setGeneric("PricingSpeed", function(object)
{standardGeneric("PricingSpeed")})
#' A generic function to access the slot JumpReferenceSpeed1
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed1", function(object)
{standardGeneric("JumpReferenceSpeed1")})
#' A generic function to access the slot JumpReferenceSpeed2
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed2", function(object)
{standardGeneric("JumpReferenceSpeed2")})
#' A generic function to access the slot JumpReferenceSpeed3
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed3", function(object)
{standardGeneric("JumpReferenceSpeed3")})
#' A generic function to access the slot JumpReferenceSpeed4
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed4", function(object)
{standardGeneric("JumpReferenceSpeed4")})
#' generic function to access the slot JumpReferenceSpeed5
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed5", function(object)
{standardGeneric("JumpReferenceSpeed5")})
#' A generic function to access the slot NumberofTranches
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofTranches", function(object)
{standardGeneric("NumberofTranches")})
#' A generic function to access the slot NumberofComponentTranches
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofComponentTranches", function(object)
{standardGeneric("NumberofComponentTranches")})
#' A generic function to access the slot NumberofCombinedTranches
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofCombinedTranches", function(object)
{standardGeneric("NumberofCombinedTranches")})
#' A generic function to access the slot NumberofPools
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofPools", function(object)
{standardGeneric("NumberofPools")})
#' A generic function to access the slot PacSchedulesIncluded
#'
#' @param object an S4 class object
#' @export
setGeneric("PacSchedulesIncluded", function(object)
{standardGeneric("PacSchedulesIncluded")})
#' A generic function to access the slot NumberofPacSchedules
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofPacSchedules", function(object)
{standardGeneric("NumberofPacSchedules")})
#' A generic function to access the slot NumberofGroups
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofGroups", function(object)
{standardGeneric("NumberofGroups")})
#' A generic function to access the slot DealSize
#'
#' @param object an S4 class object
#' @export
setGeneric("DealSize", function(object)
{standardGeneric("DealSize")})
#' A generic function to access the slot CollateralAmount
#'
#' @param object an S4 class object
#' @export
setGeneric("CollateralAmount", function(object)
{standardGeneric("CollateralAmount")})
#' A generic function to access the slot CollateralAverageLife
#'
#' @param object an S4 class object
#' @export
setGeneric("CollateralAvgLife", function(object)
{standardGeneric("CollateralAvgLife")})
#' A generic function to access the slot BondValue
#'
#' @param object an S4 class object
#' @export
setGeneric("BondValue", function(object)
{standardGeneric("BondValue")})
#' A generic function to access the slot BondValueMethod
#'
#' @param object an S4 class object
#' @export
setGeneric("BondValueMethod", function(object)
{standardGeneric("BondValueMethod")})
#' A generic function to access the slot BondValueCap
#'
#' @param object an S4 class object
#' @export
setGeneric("BondValueCap", function(object)
{standardGeneric("BondValueCap")})
#' A generic function to access the slot BondValueDiscountRate
#'
#' @param object an S4 class object
#' @export
setGeneric("BondValueDiscountRate", function(object)
{standardGeneric("BondValueDiscountRate")})
#' A generic function to access the slot BondValueReinvestmentRate
#'
#' @param object an S4 clss object
#' @export
setGeneric("BondValueReinvestmentRate", function(object)
{standardGeneric("BondValueReinvestmentRate")})
#' A generic function to access the slot ExpenseBasisPointFee
#'
#' @param object an S4 class object
#' @export
setGeneric("ExpenseBasisPointFee", function(object)
{standardGeneric("ExpenseBasisPointFee")})
#' A generic function to access the slot ExpenseFixed
#'
#' @param object an S4 class object
#' @export
setGeneric("ExpenseFixed", function(object)
{standardGeneric("ExpenseFixed")})
#' A generic function to access the slot ExpensePeriodicity
#'
#' @param object an S4 class object
#' @export
setGeneric("ExpensePeriodicity", function(object)
{standardGeneric("ExpensePeriodicity")})
#' A generic function to access the slot InitialReserveFund
#'
#' @param object an S4 object
#' @export
setGeneric("InitialReserveFund", function(object)
{standardGeneric("InitialReserveFund")})
# Initialize RAID class
setMethod("initialize",
signature("RAID"),
function (.Object,...,
DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = numeric(),
JumpReferenceSpeed1 = numeric(),
JumpReferenceSpeed2 = numeric(),
JumpReferenceSpeed3 = numeric(),
JumpReferenceSpeed4 = numeric(),
JumpReferenceSpeed5 = numeric(),
NumberofTranches = numeric(),
NumberofComponentTranches = numeric(),
NumberofCombinedTranches = numeric(),
NumberofPools = numeric(),
PacSchedulesIncluded = "logical",
NumberofPacSchedules = numeric(),
NumberofGroups = numeric(),
DealSize = numeric(),
CollateralAmount = numeric(),
CollateralAvgLife = numeric(),
BondValue = numeric(),
BondValueMethod = "character",
BondValueCap = numeric(),
BondValueDiscountRate = numeric(),
BondValueReinvestmentRate = numeric(),
ExpenseBasisPointFee = numeric(),
ExpenseFixed = numeric(),
ExpensePeriodicity = numeric(),
InitialReserveFund = numeric()
){
callNextMethod(.Object,
DealName = DealName,
Issuer = Issuer,
DealNumber = DealNumber,
DealPriceDate = DealPriceDate,
DealSettlementDate = DealSettlementDate,
Underwriter = Underwriter,
Trustee = Trustee,
PricingSpeed = PricingSpeed,
JumpReferenceSpeed1 = JumpReferenceSpeed1,
JumpReferenceSpeed2 = JumpReferenceSpeed2,
JumpReferenceSpeed3 = JumpReferenceSpeed3,
JumpReferenceSpeed4 = JumpReferenceSpeed4,
JumpReferenceSpeed5 = JumpReferenceSpeed5,
NumberofTranches = NumberofTranches,
NumberofComponentTranches = NumberofComponentTranches,
NumberofCombinedTranches = NumberofCombinedTranches,
NumberofPools = NumberofPools,
PacSchedulesIncluded = PacSchedulesIncluded,
NumberofPacSchedules = NumberofPacSchedules,
NumberofGroups = NumberofGroups,
DealSize = DealSize,
CollateralAmount = CollateralAmount,
CollateralAvgLife = CollateralAvgLife,
BondValue = BondValue,
BondValueMethod = BondValueMethod,
BondValueCap = BondValueCap,
BondValueDiscountRate = BondValueDiscountRate,
BondValueReinvestmentRate = BondValueReinvestmentRate,
ExpenseBasisPointFee = ExpenseBasisPointFee,
ExpenseFixed = ExpenseFixed,
ExpensePeriodicity = ExpensePeriodicity,
InitialReserveFund = InitialReserveFund)
})
#' A method to access the slot DealName from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod DealName
setMethod("DealName", signature("RAID"),
function(object){
object@DealName
})
#' A method to access the slot Issuer from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod Issuer
setMethod("Issuer", signature("RAID"),
function(object){
object@Issuer
})
#' A method to access the slot DealNumber from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod DealNumber
setMethod("DealNumber", signature("RAID"),
function(object){
object@DealNumber
})
#' A method to access the slot DealPriceDate from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod DealPriceDate
setMethod("DealPriceDate", signature("RAID"),
function(object){
object@DealPriceDate
})
#' A method to access the slot DealSettlementDate from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod DealSettlementDate
setMethod("DealSettlementDate", signature("RAID"),
function(object){
object@DealSettlementDate
})
#' A method to access the slot Underwriter from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod Underwriter
setMethod("Underwriter", signature("RAID"),
function(object){
object@Underwriter
})
#' A method to access the slot Trustee from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod Trustee
setMethod("Trustee", signature("RAID"),
function(object){
object@Trustee
})
#' A method to access the slot PricingSpeed from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod PricingSpeed
setMethod("PricingSpeed", signature("RAID"),
function(object){
object@PricingSpeed
})
#' A method to access the slot JumpReferenceSpeed1 from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod JumpReferenceSpeed1
setMethod("JumpReferenceSpeed1", signature("RAID"),
function(object){
object@JumpReferenceSpeed1
})
#' A method to access the slot JumpReferenceSpeed2 from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod JumpReferenceSpeed2
setMethod("JumpReferenceSpeed2", signature("RAID"),
function(object){
object@JumpReferenceSpeed2
})
#' A method to access the slot JumpReferenceSpeed3 from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod JumpReferenceSpeed3
setMethod("JumpReferenceSpeed3", signature("RAID"),
function(object){
object@JumpReferenceSpeed3
})
#' A method to access the slot JumpReferenceSpeed4 from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod JumpReferenceSpeed4
setMethod("JumpReferenceSpeed4", signature("RAID"),
function(object){
object@JumpReferenceSpeed4
})
#' A method to access the slot JumpReferenceSpeed5 from class RAID
#'
#' @param object an S4 class of typre RAID
#' @exportMethod JumpReferenceSpeed5
setMethod("JumpReferenceSpeed5", signature("RAID"),
function(object){
object@JumpReferenceSpeed5
})
#' A method to access the slot NumberofTranches from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod NumberofTranches
setMethod("NumberofTranches", signature("RAID"),
function(object){
object@NumberofTranches
})
#' A method to access the slot NumberofCombinedTranches from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod NumberofCombinedTranches
setMethod("NumberofCombinedTranches", signature("RAID"),
function(object){
object@NumberofCombinedTranches
})
#' A method to access the slot NumberofPools from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod NumberofPools
setMethod("NumberofPools", signature("RAID"),
function(object){
object@NumberofPools
})
#' A method to access the slot PacSchedulesIncluded from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod PacSchedulesIncluded
setMethod("PacSchedulesIncluded", signature("RAID"),
function(object){
object@PacjSchedulesIncluded
})
#' A method to access the slot NumberofPacSchedules from class RAID
#'
#' @param object an S4 class object of type RAID
#' @exportMethod NumberofPacSchedules
setMethod("NumberofPacSchedules", signature("RAID"),
function(object){
object@NumberofPacSchedules
})
#' A method to access the slot NumberofGroups from class RAID
#'
#' @param object an S4 class object of type RAID
#' @exportMethod NumberofGroups
setMethod("NumberofGroups", signature("RAID"),
function(object){
object@NumberofGroups
})
#' A method to access the slot DealSize from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod DealSize
setMethod("DealSize", signature("RAID"),
function(object){
object@DealSize
})
#' A method to access the slot CollateralAmount from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod CollateralAmount
setMethod("CollateralAmount", signature("RAID"),
function(object){
object@CollateralAmount
})
#' A method to access the slot CollateralAvgLife from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod CollateralAvgLife
setMethod("CollateralAvgLife", signature("RAID"),
function(object){
object@CollateralAvgLife
})
#' A method to access the slot BondValue from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod BondValue
setMethod("BondValue", signature("RAID"),
function(object){
object@BondValue
})
#' A method to access the slot BondValueMethod from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod BondValueMethod
setMethod("BondValueMethod", signature("RAID"),
function(object){
object@BondValueMethod
})
#' A method to access the slot BondValueCap from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod BondValueCap
setMethod("BondValueCap", signature("RAID"),
function(object){
object@BondValueCap
})
#' A method to access the slot BondValueDiscountRate from class RAID
#'
#' @param object an S4 class of the type BondValueDiscountRate
#' @exportMethod BondValueDiscountRate
setMethod("BondValueDiscountRate", signature("RAID"),
function(object){
object@BondValueDiscountRate
})
#' A method to access the slot BondValueReinvestmentRate from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod BondValueReinvestmentRate
setMethod("BondValueReinvestmentRate", signature("RAID"),
function(object){
object@BondValueReinvestmentRate
})
#' A method to access the slot ExpenseBasisPointFee from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod ExpenseBasisPointFee
setMethod("ExpenseBasisPointFee", signature("RAID"),
function(object){
object@ExpenseBasisPointFee
})
#' A method to access the slot ExpenseFixed from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod ExpenseFixed
setMethod("ExpenseFixed", signature("RAID"),
function(object){
object@ExpenseFixed
})
#' A method to access the slot ExpensePeriodicity from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod ExpensePeriodicity
setMethod("ExpensePeriodicity", signature("RAID"),
function(object){
object@ExpensePeriodicity
})
#' A method to extract slot InitialReserveFund from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod InitialReserveFund
setMethod("InitialReserveFund", signature("RAID"),
function(object){
object@InitialReserveFund
})
# Raid is a constructor function used by MakeRaid which is the constructor
# function exposed to the user and which saves the RAID data to the
# appropriate data folder. Alternatively, on could save the RAID data to a
# SQL or NoSQL database.
RAID <- function(DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = numeric(),
JumpReferenceSpeed1 = numeric(),
JumpReferenceSpeed2 = numeric(),
JumpReferenceSpeed3 = numeric(),
JumpReferenceSpeed4 = numeric(),
JumpReferenceSpeed5 = numeric(),
NumberofTranches = numeric(),
NumberofComponentTranches = numeric(),
NumberofCombinedTranches = numeric(),
NumberofPools = numeric(),
PacSchedulesIncluded = "logical",
NumberofPacSchedules = numeric(),
NumberofGroups = numeric(),
DealSize = numeric(),
CollateralAmount = numeric(),
CollateralAvgLife = numeric(),
BondValue = numeric(),
BondValueMethod = "character",
BondValueCap = numeric(),
BondValueDiscountRate = numeric(),
BondValueReinvestmentRate = numeric(),
ExpenseBasisPointFee = numeric(),
ExpenseFixed = numeric(),
ExpensePeriodicity = numeric(),
InitialReserveFund = numeric()
){
new("RAID",
DealName = DealName,
Issuer = Issuer,
DealNumber = DealNumber,
DealPriceDate = DealPriceDate,
DealSettlementDate = DealSettlementDate,
Underwriter = Underwriter,
Trustee = Trustee,
PricingSpeed = PricingSpeed,
JumpReferenceSpeed1 = JumpReferenceSpeed1,
JumpReferenceSpeed2 = JumpReferenceSpeed2,
JumpReferenceSpeed3 = JumpReferenceSpeed3,
JumpReferenceSpeed4 = JumpReferenceSpeed4,
JumpReferenceSpeed5 = JumpReferenceSpeed5,
NumberofTranches = NumberofTranches,
NumberofComponentTranches = NumberofComponentTranches,
NumberofCombinedTranches = NumberofCombinedTranches,
NumberofPools = NumberofPools,
PacSchedulesIncluded = PacSchedulesIncluded,
NumberofPacSchedules = NumberofPacSchedules,
NumberofGroups = NumberofGroups,
DealSize = DealSize,
CollateralAmount = CollateralAmount,
CollateralAvgLife = CollateralAvgLife,
BondValue = BondValue,
BondValueMethod = BondValueMethod,
BondValueCap = BondValueCap,
BondValueDiscountRate = BondValueDiscountRate,
BondValueReinvestmentRate = BondValueReinvestmentRate,
ExpenseBasisPointFee = ExpenseBasisPointFee,
ExpenseFixed = ExpenseFixed,
ExpensePeriodicity = ExpensePeriodicity,
InitialReserveFund = InitialReserveFund
)
}
#' A constructor function for the REMIC At Issuance Disclosure file
#'
#' The RAID function creates the REMIC At Issuance Disclosure file
#' @param DealName A character string the deal name
#' @param Issuer A character string the Isser Name
#' @param DealNumber A character string the Deal Number
#' @param DealPriceDate A character string the Deal Pricing Date
#' @param DealSettlementDate A character string the Deal Settlement Date
#' @param Underwriter A character string the Deal Underwriter
#' @param Trustee A character string the deal Trustee
#' @param PricingSpeed A numeric value the deal pricing speed
#' @param JumpReferenceSpeed1 A numeric value the Jump Z speed
#' @param JumpReferenceSpeed2 A numeric value the Jump Z speed
#' @param JumpReferenceSpeed3 A numeric value the Jump Z speed
#' @param JumpReferenceSpeed4 A numeric value the Jump Z speed
#' @param JumpReferenceSpeed5 A numeric value the Jump S speed
#' @param NumberofTranches A numeric value the number of Tranches
#' @param NumberofComponentTranches A numeric value the number of
#' component Tranches
#' @param NumberofCombinedTranches A numeric value the number of
#' combined Tranches
#' @param NumberofPools A numeric value the number of pools
#' @param PacSchedulesIncluded A logical value TRUE/FALSE
#' @param NumberofPacSchedules A numeric value the number of PAC schedules
#' @param NumberofGroups A numeric value the number of groups
#' @param DealSize A numeric value the original balance of all tranches
#' @param CollateralAmount A numeric value the current face amount of
#' the collateral
#' @param CollateralAvgLife A numeric value the avg life of the collateral
#' @param BondValue A numeric value the bond price
#' @param BondValueMethod A character string the valuation method
#' @param BondValueCap A numeric value the Bond Coupon Cap Rate
#' @param BondValueDiscountRate A numeric value the Bond discount rate
#' @param BondValueReinvestmentRate A numeric value the assumed trust
#' reinvestment rate
#' @param ExpenseBasisPointFee A numeric value the expense of the Trust
#' @param ExpenseFixed A numeric value the fixed expenses of the Trust
#' @param ExpensePeriodicity A numeric value the calender payment of expenses
#' @param InitialReserveFund A numeric value the amount of the initial
#' reserve fund
#' @examples
#' \dontrun{Need Example}
#' @export MakeRAID
MakeRAID <- function(DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = numeric(),
JumpReferenceSpeed1 = numeric(),
JumpReferenceSpeed2 = numeric(),
JumpReferenceSpeed3 = numeric(),
JumpReferenceSpeed4 = numeric(),
JumpReferenceSpeed5 = numeric(),
NumberofTranches = numeric(),
NumberofComponentTranches = numeric(),
NumberofCombinedTranches = numeric(),
NumberofPools = numeric(),
PacSchedulesIncluded = "logical",
NumberofPacSchedules = numeric(),
NumberofGroups = numeric(),
DealSize = numeric(),
CollateralAmount = numeric(),
CollateralAvgLife = numeric(),
BondValue = numeric(),
BondValueMethod = "character",
BondValueCap = numeric(),
BondValueDiscountRate = numeric(),
BondValueReinvestmentRate = numeric(),
ExpenseBasisPointFee = numeric(),
ExpenseFixed = numeric(),
ExpensePeriodicity = numeric(),
InitialReserveFund = numeric()){
temp <-RAID(DealName = DealName,
Issuer = Issuer,
DealNumber = DealNumber,
DealPriceDate = DealPriceDate,
DealSettlementDate = DealSettlementDate,
Underwriter = Underwriter,
Trustee = Trustee,
PricingSpeed = PricingSpeed,
JumpReferenceSpeed1 = JumpReferenceSpeed1,
JumpReferenceSpeed2 = JumpReferenceSpeed2,
JumpReferenceSpeed3 = JumpReferenceSpeed3,
JumpReferenceSpeed4 = JumpReferenceSpeed4,
JumpReferenceSpeed5 = JumpReferenceSpeed5,
NumberofTranches = NumberofTranches,
NumberofComponentTranches = NumberofComponentTranches,
NumberofCombinedTranches = NumberofCombinedTranches,
NumberofPools = NumberofPools,
PacSchedulesIncluded = PacSchedulesIncluded,
NumberofPacSchedules = NumberofPacSchedules,
NumberofGroups = NumberofGroups,
DealSize = DealSize,
CollateralAmount = CollateralAmount,
CollateralAvgLife = CollateralAvgLife,
BondValue = BondValue,
BondValueMethod = BondValueMethod,
BondValueCap = BondValueCap,
BondValueDiscountRate = BondValueDiscountRate,
BondValueReinvestmentRate = BondValueReinvestmentRate,
ExpenseBasisPointFee = ExpenseBasisPointFee,
ExpenseFixed = ExpenseFixed,
ExpensePeriodicity = ExpensePeriodicity,
InitialReserveFund = InitialReserveFund)
SaveRAID(RAIDFile = temp)}
#' An S4 Class TrancheDetails at Issuance
#'
#' Tranche Details is static data Tranche changes are updated
#' via REMIC Data Month End (RDME) classes
#' @slot DealName A character the deal name
#' @slot TrancheNumber A character the tranche number
#' @slot NumberofComponents A numeric value the number of components
#' @slot ComponentofTranches A character the component of tranches
#' @slot TrancheName A character the tranche name
#' @slot TranchePrincipal A character the principal
#' @slot TranchePrincipalDesc A character the tranche principal description
#' @slot TrancheInterestDesc A character the tranche interest description
#' @slot TrancheOtherDescription A character additional tranche decriptive
#' information
#' @slot Cusip A character the tranche cusip identifier
#' @slot TrancheOrigBal A numeric value the tranche original balance
#' @slot TrancheInterest A character the tranche interest
#' @slot TrancheCoupon A numeric value the tranche coupon
#' @slot AccrualRate A numeric value the tranche accrual rate
#' @slot TreasuryMaturity A numeric value the maturity of the
#' benchmark Treasury at issuance
#' @slot TreasuryYield A numueric value the yield of the benchmark Treasury
#' @slot TreasurySpread A numeric value the tranche spread over the
#' benchmark Treasury at issuance
#' @slot TrancheYield A numeric value the tranche yield at issuance
#' @slot TranchePrice A numeric value the tranche price at issuance
#' @slot TrancheProceedsWithInterest A numeric value the tranche proceeds at
#' issuance principal and interest
#' @slot TrancheAvgLife A numeric vlaue the tranche average life at issuance
#' @slot TrancheDuration A numeric value the tranche duration at issuance
#' @slot TrancheDatedDate A character the dated date of the tranche
#' @slot TrancheFirstPmtDate A character the first payment date of the tranche
#' @slot TrancheLastPmtDate A character the last payment date of the tranche
#' @slot TrancheNextPmtDate A character the next payment date of the tranche
#' @slot TrancheFinalPmtDate A character the final payment date of the tranche
#' @slot Delay A numeric value the delay days of payment to the investor
#' @slot InterestPmtFrequency A numeric value the frequency of
#' interest payments to the investor
#' @slot PrinPmtFrequency A numeric value the frequency of principal
#' payments to the investor
#' @slot PacLowBand A numeric value lower PAC band
#' @slot PacHighBand A numeric value upper PAC band
#' @slot FloaterIndex A character the floating rate index used to determine
#' the floating rate bond coupon
#' @slot InitialIndexValue A numeric value the value of the floater index at
#' issuance
#' @slot FloaterMargin A numeric value the floater margin
#' @slot FloaterMultiplier A numeric value the floater multiplier
#' @slot FloaterCap A numeric vlaue the floating rate bond cap
#' @slot FloaterFloor A numeric value the floating rate bond floor
#' @slot FloaterInitialCoupon A numeric value the floater initial coupon
#' @slot FloaterResetFrequency A numeric value the frequency at which the
#' floating coupon changes
#' @slot FloaterFirstResetDate a numeric vlaue the first reset date of the
#' floating rate bond
#' @slot FloaterFormula A function used to calculate the floating rate bond
#' coupon rate
#' @slot Group A numeric value the collateral group to which the
#' tranche belongs
#' @slot TrancheType A character the tranche type
#' @slot Schedule A logical indicating the bond payments are tied to
#' a schedule
#' @slot Fixed A logical indicating the bond coupon rate is fixed
#' @exportClass TrancheDetails
setClass("TrancheDetails",
representation(
DealName = "character",
TrancheNumber = "character",
NumberofComponents = "numeric",
ComponentofTranches = "character",
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = "numeric",
TrancheInterest = "character",
TrancheCoupon = "numeric",
AccrualRate = "numeric",
TreasuryMaturity = "numeric",
TreasuryYield = "numeric",
TreasurySpread = "numeric",
TrancheYield = "numeric",
TranchePrice = "numeric",
TrancheProceedsWithInterest = "numeric",
TrancheAvgLife = "numeric",
TrancheDuration = "numeric",
TrancheDatedDate = "character",
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = "numeric",
InterestPmtFrequency = "numeric",
PrinPmtFrequency = "numeric",
PacLowBand = "numeric",
PacHighBand = "numeric",
FloaterIndex = "character",
InitialIndexValue = "numeric",
FloaterMargin = "numeric",
FloaterMultiplier = "numeric",
FloaterCap = "numeric",
FloaterFloor = "numeric",
FloaterInitialCoupon = "numeric",
FloaterResetFrequency = "numeric",
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = "numeric",
TrancheType = "character",
Schedule = "logical",
Fixed = "logical"))
setGeneric("TrancheDetails",
function(DealName = "character",
TrancheNumber = "character",
NumberofComponents = "numeric",
ComponentofTranches = "character",
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = "numeric",
TrancheInterest = "character",
TrancheCoupon = "numeric",
AccrualRate = "numeric",
TreasuryMaturity = "numeric",
TreasuryYield = "numeric",
TreasurySpread = "numeric",
TrancheYield = "numeric",
TranchePrice = "numeric",
TrancheProceedsWithInterest = "numeric",
TrancheAvgLife = "numeric",
TrancheDuration = "numeric",
TrancheDatedDate = "character",
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = "numeric",
InterestPmtFrequency = "numeric",
PrinPmtFrequency = "numeric",
PacLowBand = "numeric",
PacHighBand = "numeric",
FloaterIndex = "character",
InitialIndexValue = "numeric",
FloaterMargin = "numeric",
FloaterMultiplier = "numeric",
FloaterCap = "numeric",
FloaterFloor = "numeric",
FloaterInitialCoupon = "numeric",
FloaterResetFrequency = "numeric",
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = "numeric",
TrancheType = "character",
Schedule = "logical",
Fixed = "logical"
)
{standardGeneric("TrancheDetails")})
# Note: generic function DealName is defined above
#' A generic function to access the slot TrancheNumber
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheNumber", function(object)
{standardGeneric("TrancheNumber")})
#' A generic function to access the slot NumberofComponents
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofComponents", function(object)
{standardGeneric("NumberofComponents")})
#' A generic function to access the slot ComponentofTranches
#'
#' @param object an S4 class object
#' @export
setGeneric("ComponentofTranches", function(object)
{standardGeneric("ComponentofTranches")})
#' A generic function to access the slot TrancheName
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheName", function(object)
{setGeneric("TrancheName")})
#' A generic function to access the slot TranchePrincipal
#'
#' @param object an S4 class object
#' @export
setGeneric("TranchePrincipal", function(object)
{standardGeneric("TranchePrincipal")})
#' A generic function to access the slot TranchePrincipalDesc
#'
#' @param object an S4 class object
#' @export
setGeneric("TranchePrincipalDesc", function(object)
{standardGeneric("TranchePrincipalDesc")})
#' A generic function to access the slot TrancheInterestDesc
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheInterestDesc", function(object)
{standardGeneric("TrancheInterestDesc")})
#' A generic function to access the slot TrancheOtherDescription
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheOtherDescription", function(object)
{standardGeneric("TrancheOtherDescription")})
# Note Cusip standardGeneric defined in PassThroughConstructor.R
#' A generic function to access the slot TrancheOrigBal
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheOrigBal", function(object)
{setGeneric("TrancheOrigBal")})
#' A generic function access the slot TrancheInterest
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheInterest", function(object)
{setGeneric("TrancheInterest")})
# Note: standard generic cusip is defined in PassThroughConstructor.R
#' A generic function to access the slot TrancheCoupon
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheCoupon", function(object)
{setGeneric("TrancheCoupon")})
#' A generic function to access the slot AccrualRate
#'
#' @param object an S4 class object
#' @export
setGeneric("AccrualRate", function(object)
{standardGeneric("AccrualRate")})
#' A generic function to access the slot TreasuryMaturity
#'
#' @param object an S4 class object
#' @export
setGeneric("TreasuryMaturity", function(object)
{setGeneric("TreasuryMaturity")})
#' A generic function to access the slot TreasuryYield
#'
#' @param object an S4 class object
#' @export
setGeneric("TreasuryYield", function(object)
{setGeneric("TreasuryYield")})
#' A generic function to access the slot TreasurySpread
#'
#' @param object an S4 class object
#' @export
setGeneric("TreasurySpread", function(object)
{standardGeneric("TreasurySpread")})
#' A generic function to access the slot TrancheYield
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheYield", function(object)
{standardGeneric("TrancheYield")})
#' A generic function to access the slot TranchePrice
#'
#' @param object an S4 class object
#' @export
setGeneric("TranchePrice", function(object)
{standardGeneric("TranchePrice")})
#' A generic function to access the slot TrancheProceedsWithInterest
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheProceedsWithInterest", function(object)
{setGeneric("TrancheProceedsWithInterest")})
#' A generic functionto access the slot TrancheAvgLife
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheAvgLife", function(object)
{standardGeneric("TrancheAvgLife")})
#' A generic function to access the slot TrancheDuration
#'
#' @param object an S4 class oject
#' @export
setGeneric("TrancheDuration", function(object)
{standardGeneric("TrancheDuration")})
#' A generic function to access the TrancheDatedDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheDatedDate", function(object)
{standardGeneric("TrancheDatedDate")})
#' A generic function to access the slot TrancheFirstPmtDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheFirstPmtDate", function(object)
{standardGeneric("TrancheFirstPmtDate")})
#' A generic function to access the slot TrancheLastPmtDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheLastPmtDate", function(object)
{standardGeneric("TrancheLastPmtDate")})
#' A generic function to access the slot TrancheNextPmtDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheNextPmtDate", function(object)
{standardGeneric("TrancheNextPmtDate")})
#' A generic function to access the slot TrancheFinalPmtDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheFinalPmtDate", function(object)
{standardGeneric("TrancheFinalPmtDate")})
#' A generic function to access the slot Delay
#'
#' @param object an S4 class object
#' @export
setGeneric("Delay", function(object)
{standardGeneric("Delay")})
#' A generic functon to access the slot InterestPmtFrequency
#'
#' @param object an S4 class object
#' @export
setGeneric("InterestPmtFrequency", function(object)
{standardGeneric("InterestPmtFrequency")})
#' A generic function to access the slot PrinPmtFrequency
#'
#' @param object an S4 class object
#' @export
setGeneric("PrinPmtFrequency", function(object)
{setGeneric("PrinPmtFrequency")})
#' A generic function to access the slot PacLowBand
#'
#' @param object an S4 class object
#' @export
setGeneric("PacLowBand", function(object)
{standardGeneric("PacLowBand")})
#' A generic function to access the slot PachHighBand
#'
#' @param object an S4 class object
#' @export
setGeneric("PacHighBand", function(object)
{standardGeneric("PacHighBand")})
#' A generic function to access the slot FloaterIndex
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterIndex", function(object)
{standardGeneric("FloaterIndex")})
#' A generic functon to access the slot InitialIndexValue
#'
#' @param object an S4 class object
#' @export
setGeneric("InitialIndexValue", function(object)
{standardGeneric("InitialIndexValue")})
#' A generic function to access the slot FloaterMargin
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterMargin", function(object)
{standardGeneric("FloaterMargin")})
#' A generic function to access the slot FloaterMultiplier
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterMultiplier", function(object)
{standardGeneric("FloaterMultiplier")})
#' A generic function to access the slot FloaterCap
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterCap", function(object)
{standardGeneric("FloaterCap")})
#' A generic function to access the slot FloaterFloor
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterFloor", function(object)
{standardGeneric("FloaterFloor")})
#' A generic function to access the slot FloaterInitialCoupon
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterInitialCoupon", function(object)
{standardGeneric("FloaterInitialCoupon")})
#' A generic function to access the slot FloaterResetFrequency
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterResetFrequency", function(object)
{standardGeneric("FloaterResetFrequency")})
#' A generic function to access the slot FloaterFirstResetDate
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterFirstResetDate", function(object)
{standardGeneric("FloaterFirstResetDate")})
#' A generic function to access the slot FloaterFormula
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterFormula", function(object)
{setGeneric("FloaterFormula")})
#' A generic function to access the slot Group
#'
#' @param object an S4 class object
#' @export
setGeneric("Group", function(object)
{standardGeneric("Group")})
#' A generic function to access the slot TrancheType
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheType", function(object)
{standardGeneric("TrancheType")})
#' A generic function to access the slot Schedule
#'
#' @param object an S4 class object
#' @export
setGeneric("Schedule", function(object)
{standardGeneric("Schedule")})
#' A generic function to access the slot Fixed
#'
#' @param object an S4 class object
#' @export
setGeneric("Fixed", function(object)
{standardGeneric("Fixed")})
# Initialize TrancheDetails
setMethod("initialize",
signature("TrancheDetails"),
function(.Object,...,
DealName = "character",
TrancheNumber = "character",
NumberofComponents = numeric(),
ComponentofTranches = "character",
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = numeric(),
TrancheInterest = "character",
TrancheCoupon = numeric(),
AccrualRate = numeric(),
TreasuryMaturity = numeric(),
TreasuryYield = numeric(),
TreasurySpread = numeric(),
TrancheYield = numeric(),
TranchePrice = numeric(),
TrancheProceedsWithInterest = numeric(),
TrancheAvgLife = numeric(),
TrancheDuration = numeric(),
TrancheDatedDate = numeric(),
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = numeric(),
InterestPmtFrequency = numeric(),
PrinPmtFrequency = numeric(),
PacLowBand = numeric(),
PacHighBand = numeric(),
FloaterIndex = "character",
InitialIndexValue = numeric(),
FloaterMargin = numeric(),
FloaterMultiplier = numeric(),
FloaterCap = numeric(),
FloaterFloor = numeric(),
FloaterInitialCoupon = numeric(),
FloaterResetFrequency = numeric(),
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = numeric(),
TrancheType = "character",
Schedule = "logical",
Fixed = "logical"
){
callNextMethod(.Object,
DealName = DealName,
TrancheNumber = TrancheNumber,
NumberofComponents = NumberofComponents,
ComponentofTranches = ComponentofTranches,
TrancheName = TrancheName,
TranchePrincipal = TranchePrincipal,
TranchePrincipalDesc = TranchePrincipalDesc,
TrancheInterestDesc = TrancheInterestDesc,
TrancheOtherDescription = TrancheOtherDescription,
Cusip = Cusip,
TrancheOrigBal = TrancheOrigBal,
TrancheInterest = TrancheInterest,
TrancheCoupon = TrancheCoupon,
AccrualRate = AccrualRate,
TreasuryMaturity = TreasuryMaturity,
TreasuryYield = TreasuryYield,
TreasurySpread = TreasurySpread,
TrancheYield = TreasuryYield,
TranchePrice = TranchePrice,
TrancheProceedsWithInterest = TrancheProceedsWithInterest,
TrancheAvgLife = TrancheAvgLife,
TrancheDuration = TrancheDuration,
TrancheDatedDate = TrancheDatedDate,
TrancheFirstPmtDate = TrancheFirstPmtDate,
TrancheLastPmtDate = TrancheLastPmtDate,
TrancheNextPmtDate = TrancheNextPmtDate,
TrancheFinalPmtDate = TrancheFinalPmtDate,
Delay = Delay,
InterestPmtFrequency = InterestPmtFrequency,
PrinPmtFrequency = PrinPmtFrequency,
PacLowBand = PacLowBand,
PacHighBand = PacHighBand,
FloaterIndex = FloaterIndex,
InitialIndexValue = InitialIndexValue,
FloaterMargin = FloaterMargin,
FloaterMultiplier = FloaterMultiplier,
FloaterCap = FloaterCap,
FloaterFloor = FloaterFloor,
FloaterInitialCoupon = FloaterInitialCoupon,
FloaterResetFrequency = FloaterResetFrequency,
FloaterFirstResetDate = FloaterFirstResetDate,
FloaterFormula = FloaterFormula,
Group = Group,
TrancheType = TrancheType,
Schedule = Schedule,
Fixed = Fixed)
})
#' A method to access the slot DealName from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod DealName
setMethod("DealName", signature("TrancheDetails"),
function(object){
object@DealName
})
#' A method to access the slot TrancheNumber from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheNumber
setMethod("TrancheNumber", signature("TrancheDetails"),
function(object){
object@TrancheDetails
})
#' A method to access the slot NumberofComponents from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod NumberofComponents
setMethod("NumberofComponents", signature("TrancheDetails"),
function(object){
object@NumberofComponents
})
#' A method to access the slot ComponentofTranches from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod ComponentofTranches
setMethod("ComponentofTranches", signature("TrancheDetails"),
function(object){
object@ComponentofTranches
})
#' A method to access the slot TrancheName from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod TrancheName
setMethod("TrancheName", signature("TrancheDetails"),
function(object){
object@TrancheName
})
#' A method to access the slot TranchePrincipal from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod TranchePrincipal
setMethod("TranchePrincipal", signature("TrancheDetails"),
function(object){
object@TranchePrincipal
})
#' A method to access the slot TranchePrincipalDesc from class TrancheDetails
#'
#' @param object an S4 object of the type TranchePrincipalDesc
#' @exportMethod TranchePrincipalDesc
setMethod("TranchePrincipalDesc", signature("TrancheDetails"),
function(object){
object@TranchePrincipalDesc
})
#' A method to access the slot TrancheInterestDesc from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheInterestDesc
#' @exportMethod TrancheInterestDesc
setMethod("TrancheInterestDesc", signature("TrancheDetails"),
function(object){
object@TrancheInterestDesc
})
#' A method to access the slot TrancheOtherDescription from
#' class TrancheDetails
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod TrancheOtherDescription
setMethod("TrancheOtherDescription", signature("TrancheDetails"),
function(object){
object@TrancheOtherDescription
})
#' A method to access the slot Cusip from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Cusip
setMethod("Cusip", signature("TrancheDetails"),
function(object){
object@Cusip
})
#' A method to access the slot TrancheOrigBal from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheOrigBal
setMethod("TrancheOrigBal", signature("TrancheDetails"),
function(object){
object@TrancheOrigBal
})
#' A method to access the slot TrancheInterest from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod TrancheInterest
setMethod("TrancheInterest", signature("TrancheDetails"),
function(object){
object@TrancheInterest
})
#' A method to access the slot TrancheCoupon from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheCoupon
setMethod("TrancheCoupon", signature("TrancheDetails"),
function(object){
object@TrancheCoupon
})
#' A method to access the slot AccrualRate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod AccrualRate
setMethod("AccrualRate", signature("TrancheDetails"),
function(object){
object@AccrualRate
})
#' A method to access the slot TreasuryMaturity from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TreasuryMaturity
setMethod("TreasuryMaturity", signature("TrancheDetails"),
function(object){
object@TreasuryMaturity
})
#' A method to access the slot TreasuryYield from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TreasuryYield
setMethod("TreasuryYield", signature("TrancheDetails"),
function(object){
object@TreasuryYield
})
#' A method to access the slot TreasurySpread from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TreasurySpread
setMethod("TreasurySpread", signature("TrancheDetails"),
function(object){
object@TreasurySpread
})
#' A method to access the slot TrancheYield from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheYield
setMethod("TrancheYield", signature("TrancheDetails"),
function(object){
object@TrancheYield
})
#' A method to access the slot TranchePrice from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TranchePrice
setMethod("TranchePrice", signature("TrancheDetails"),
function(object){
object@TranchePrice
})
#' A method to access the slot TrancheProceedsWithInterest from
#' class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheProceedsWithInterest
setMethod("TrancheProceedsWithInterest", signature("TrancheDetails"),
function(object){
object@TrancheProceedsWithInterest
})
#' A method to access the slot TrancheAvgLife from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheAvgLife
setMethod("TrancheAvgLife", signature("TrancheDetails"),
function(object){
object@TrancheAvgLife
})
#' A method to access the slot TrancheDuration from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheDuration
setMethod("TrancheDuration", signature("TrancheDetails"),
function(object){
object@TrancheDuration
})
#' A method to access the slot TrancheDatedDate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheDatedDate
setMethod("TrancheDatedDate", signature("TrancheDetails"),
function(object){
object@TrancheDatedDate
})
#' A method to access the slot TrancheFirstPmtDate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheFirstPmtDate
setMethod("TrancheFirstPmtDate", signature("TrancheDetails"),
function(object){
object@TrancheDatedDate
})
#' A method to access the slot TrancheLastPmtDate from class TrancheDetails
#'
#' @param object an S4 clss of type TrancheDetails
#' @exportMethod TrancheLastPmtDate
setMethod("TrancheLastPmtDate", signature("TrancheDetails"),
function(object){
object@TrancheLastPmtDate
})
#' A method to access the slot TrancheNextPmtDate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheNextPmtDate
setMethod("TrancheNextPmtDate", signature("TrancheDetails"),
function(object){
object@TrancheNextPmtDate
})
#' A method to access the slot TrancheFinalPmtDate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheFinalPmtDate
setMethod("TrancheFinalPmtDate", signature("TrancheDetails"),
function(object){
object@TrancheFinalPmtDate
})
#' A method to access the slot Delay from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Delay
setMethod("Delay", signature("TrancheDetails"),
function(object){
object@Delay
})
#' A method to access the slot InterestPmtFrequency from class TrancheDetails
#'
#' @param object an S4 object of the type InterestPmtFrequency
#' @exportMethod InterestPmtFrequency
setMethod("InterestPmtFrequency", signature("TrancheDetails"),
function(object){
object@InterestPmtFrequency
})
#' A method to access the slot PrinPmtFrequency from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod PrinPmtFrequency
setMethod("PrinPmtFrequency", signature("TrancheDetails"),
function(object){
object@PrinPmtFrequency
})
#' A method to access the slot PacLowBand from class TrancheDetails
#'
#' @param object an S4 object of type TrancheDetails
#' @exportMethod PacLowBand
setMethod("PacLowBand", signature("TrancheDetails"),
function(object){
object@PacLowBand
})
#'A method to access the slot PacHighBand from class TrancheDetails
#'
#'@param object an S4 object of the type TrancheDetails
#'@exportMethod PacHighBand
setMethod("PacHighBand", signature("TrancheDetails"),
function(object){
object@PacHighBand
})
#' A method to access the slot FloaterIndex from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterIndex
setMethod("FloaterIndex", signature("TrancheDetails"),
function(object){
object@FloaterIndex
})
#' A method to access the slot InitialIndexValue from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod InitialIndexValue
setMethod("InitialIndexValue", signature("TrancheDetails"),
function(object){
object@InitialIndexValue
})
#' A method to access the slot FloaterMargin from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterMargin
setMethod("FloaterMargin", signature("TrancheDetails"),
function(object){
object@FloaterMargin
})
#' A method to access the slot FloaterMultiplier from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterMultiplier
setMethod("FloaterMultiplier", signature("TrancheDetails"),
function(object){
object@FloaterMultiplier
})
#' A method to access the slot FloaterCap from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterCap
setMethod("FloaterCap", signature("TrancheDetails"),
function(object){
object@FloaterCap
})
#' A method to access the slot FloaterFloor from the class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterFloor
setMethod("FloaterFloor", signature("TrancheDetails"),
function(object){
object@FloaterFloor
})
#' A method to access the slot FloaterInitialCoupon from the
#' class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterInitialCoupon
setMethod("FloaterInitialCoupon", signature("TrancheDetails"),
function(object){
object@FloaterInitialCoupon
})
#' A method to access the slot FloaterResetFrequency from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterResetFrequency
setMethod("FloaterResetFrequency", signature("TrancheDetails"),
function(object){
object@FloaterResetFrequency
})
#' A method to access the slot FloaterFirstResetDate from class TrancheDetails
#'
#' @param object an S4 object o the type TrancheDetails
#' @exportMethod FloaterFirstResetDate
setMethod("FloaterFirstResetDate",signature("TrancheDetails"),
function(object){
object@FloaterFirstResetDate
})
#' A method to access the slot FloaterFormula from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterFormula
setMethod("FloaterFormula", signature("TrancheDetails"),
function(object){
object@FloaterFormula
})
#' A method to access the slot Group from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Group
setMethod("Group", signature("TrancheDetails"),
function(object){
object@Group
})
#' A method to access the slot TrancheType from class TrancheDetails
#'
#' @param object an S4 object of the typre TrancheDetails
#' @exportMethod TrancheType
setMethod("TrancheType", signature("TrancheDetails"),
function(object){
object@TrancheType
})
#' A method to access the slot Schedule from the class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Schedule
setMethod("Schedule", signature("TrancheDetails"),
function(object){
object@Schedule
})
#' A method to access the slot Fixed from the class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Fixed
setMethod("Fixed", signature("TrancheDetails"),
function(object){
object@Fixed
})
# Tranche Details is a constructor function used by MakeTranche which is a
# constructor function is exposed to the user
TrancheDetails <- function(DealName = "character",
TrancheNumber = "character",
NumberofComponents = numeric(),
ComponentofTranches = "character",
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = numeric(),
TrancheInterest = "character",
TrancheCoupon = numeric(),
AccrualRate = numeric(),
TreasuryMaturity = numeric(),
TreasuryYield = numeric(),
TreasurySpread = numeric(),
TrancheYield = numeric(),
TranchePrice = numeric(),
TrancheProceedsWithInterest = numeric(),
TrancheAvgLife = numeric(),
TrancheDuration = numeric(),
TrancheDatedDate = numeric(),
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = numeric(),
InterestPmtFrequency = numeric(),
PrinPmtFrequency = numeric(),
PacLowBand = numeric(),
PacHighBand = numeric(),
FloaterIndex = "character",
InitialIndexValue = numeric(),
FloaterMargin = numeric(),
FloaterMultiplier = numeric(),
FloaterCap = numeric(),
FloaterFloor = numeric(),
FloaterInitialCoupon = numeric(),
FloaterResetFrequency = numeric(),
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = numeric(),
TrancheType = "character",
Schedule = "logical",
Fixed = "logical"){
new("TrancheDetails",
DealName = DealName,
TrancheNumber = TrancheNumber,
NumberofComponents = NumberofComponents,
ComponentofTranches = ComponentofTranches,
TrancheName = TrancheName,
TranchePrincipal = TranchePrincipal,
TranchePrincipalDesc = TranchePrincipalDesc,
TrancheInterestDesc = TrancheInterestDesc,
TrancheOtherDescription = TrancheOtherDescription,
Cusip = Cusip,
TrancheOrigBal = TrancheOrigBal,
TrancheInterest = TrancheInterest,
TrancheCoupon = TrancheCoupon,
AccrualRate = AccrualRate,
TreasuryMaturity = TreasuryMaturity,
TreasuryYield = TreasuryYield,
TreasurySpread = TreasurySpread,
TrancheYield = TreasuryYield,
TranchePrice = TranchePrice,
TrancheProceedsWithInterest = TrancheProceedsWithInterest,
TrancheAvgLife = TrancheAvgLife,
TrancheDuration = TrancheDuration,
TrancheDatedDate = TrancheDatedDate,
TrancheFirstPmtDate = TrancheFirstPmtDate,
TrancheLastPmtDate = TrancheLastPmtDate,
TrancheNextPmtDate = TrancheNextPmtDate,
TrancheFinalPmtDate = TrancheFinalPmtDate,
Delay = Delay,
InterestPmtFrequency = InterestPmtFrequency,
PrinPmtFrequency = PrinPmtFrequency,
PacLowBand = PacLowBand,
PacHighBand = PacHighBand,
FloaterIndex = FloaterIndex,
InitialIndexValue = InitialIndexValue,
FloaterMargin = FloaterMargin,
FloaterMultiplier = FloaterMultiplier,
FloaterCap = FloaterCap,
FloaterFloor = FloaterFloor,
FloaterInitialCoupon = FloaterInitialCoupon,
FloaterResetFrequency = FloaterResetFrequency,
FloaterFirstResetDate = FloaterFirstResetDate,
FloaterFormula = FloaterFormula,
Group = Group,
TrancheType = TrancheType,
Schedule = Schedule,
Fixed = Fixed)
}
# MakeTranche is a function which calls the function TrancheDetails
# serialize the object TrancheDetails to the tranches directory
# note in the help file MakeTranche is refered to as constructor since
# the actual constructor TrancheDetails is not exposed to the user
#' A constructor function for REMIC tranche detail
#'
#' MakeTranche a constructor function used to create a REMIC tranche
#' @param DealName A character string the deal name
#' @param TrancheNumber A character string the Tranche Number
#' @param NumberofComponents A numeric value the number of components
#' @param ComponentofTranches A string identifying component tranches
#' @param TrancheName A character string the the Tranche Name
#' @param TranchePrincipal A character string the principal type
#' (pass-through, notional)
#' @param TranchePrincipalDesc A character string the REMIC principal
#' type (sequential, IO, PAC, etc.)
#' @param TrancheInterestDesc A character string the REMIC interest type
#' (Fixed, Floating, Variable)
#' @param TrancheOtherDescription A character string the other REMIC
#' descriptive information
#' @param Cusip A character string the tranche cusip
#' @param TrancheOrigBal A character numeric value the original balance
#' @param TrancheInterest A character string the Tranche Interest Type
#' @param TrancheCoupon A numeric value the tranche coupon
#' @param AccrualRate A numeric value the accrual rate on the bond
#' @param TreasuryMaturity A numeric value the maturity of the pricing
#' benchmark (Treasury or Swap)
#' @param TreasuryYield A numeric value the yield of the pricing
#' benchmark (Treasury or Swap)
#' @param TreasurySpread A numeric value the spread over the pricing
#' bechmark (Treasury or Swap)
#' @param TrancheYield A numeric value the new issue pricing yield to maturity
#' @param TranchePrice A numeric value the new issue price
#' @param TrancheProceedsWithInterest A numeric value the new issue proceeds
#' @param TrancheAvgLife A numeric value the average life at pricing
#' @param TrancheDuration A numeric value the duration (modified) at pricing
#' @param TrancheDatedDate A character value the tranche dated date
#' @param TrancheFirstPmtDate A character value the tranche first payment date
#' @param TrancheLastPmtDate A character value the tranche last payment date
#' @param TrancheNextPmtDate A character value the tranche next payment date
#' @param TrancheFinalPmtDate A character value the tranche final payment date
#' @param Delay A numeric value the delay days
#' @param InterestPmtFrequency A numeric value the interest payment frequency
#' @param PrinPmtFrequency A numeric value the principal payment frequency
#' @param PacLowBand A numeric value the PAC Lower Band
#' @param PacHighBand A numeric value the PAC Upper Band
#' @param FloaterIndex A character value the floater index name
#' @param InitialIndexValue A numeric value the value of the floater's
#' reference index at issuance
#' @param FloaterMargin A numeric value the floater margin
#' @param FloaterMultiplier A numeric value the floater multiplier
#' @param FloaterCap A numeric value the floater cap
#' @param FloaterFloor A numeric value the floater floor
#' @param FloaterInitialCoupon A numeric value the floater's new issue coupon
#' @param FloaterResetFrequency A numeric value the reset frequency
#' (12 is monthly)
#' @param FloaterFirstResetDate A character string the first reset
#' date following issuance
#' @param FloaterFormula A function the floater coupon formula
#' @param Group A numeric value the collateral group number
#' @param TrancheType A character value the type of tranche
#' (standard, exchangeable)
#' @param Schedule A logical indicating the PAC/TAC schedule
#' @param Fixed A logical indicating Fixed (TRUE) or Floating (FALSE)
#' coupon
#' @examples
#' \dontrun{Need Example}
#'@export
MakeTranche <- function(DealName = "character",
TrancheNumber = "character",
NumberofComponents = numeric(),
ComponentofTranches = numeric(),
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = numeric(),
TrancheInterest = "character",
TrancheCoupon = numeric(),
AccrualRate = numeric(),
TreasuryMaturity = numeric(),
TreasuryYield = numeric(),
TreasurySpread = numeric(),
TrancheYield = numeric(),
TranchePrice = numeric(),
TrancheProceedsWithInterest = numeric(),
TrancheAvgLife = numeric(),
TrancheDuration = numeric(),
TrancheDatedDate = numeric(),
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = numeric(),
InterestPmtFrequency = numeric(),
PrinPmtFrequency = numeric(),
PacLowBand = numeric(),
PacHighBand = numeric(),
FloaterIndex = "character",
InitialIndexValue = numeric(),
FloaterMargin = numeric(),
FloaterMultiplier = numeric(),
FloaterCap = numeric(),
FloaterFloor = numeric(),
FloaterInitialCoupon = numeric(),
FloaterResetFrequency = numeric(),
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = numeric(),
TrancheType = "character",
Schedule = "logical",
Fixed = "logical") {
temp <- TrancheDetails(
DealName = DealName,
TrancheNumber = TrancheNumber,
NumberofComponents = NumberofComponents,
ComponentofTranches = ComponentofTranches,
TrancheName = TrancheName,
TranchePrincipal = TranchePrincipal,
TranchePrincipalDesc = TranchePrincipalDesc,
TrancheInterestDesc = TrancheInterestDesc,
TrancheOtherDescription = TrancheOtherDescription,
Cusip = Cusip,
TrancheOrigBal = TrancheOrigBal,
TrancheInterest = TrancheInterest,
TrancheCoupon = TrancheCoupon,
AccrualRate = AccrualRate,
TreasuryMaturity = TreasuryMaturity,
TreasuryYield = TreasuryYield,
TreasurySpread = TreasurySpread,
TrancheYield = TreasuryYield,
TranchePrice = TranchePrice,
TrancheProceedsWithInterest = TrancheProceedsWithInterest,
TrancheAvgLife = TrancheAvgLife,
TrancheDuration = TrancheDuration,
TrancheDatedDate = TrancheDatedDate,
TrancheFirstPmtDate = TrancheFirstPmtDate,
TrancheLastPmtDate = TrancheLastPmtDate,
TrancheNextPmtDate = TrancheNextPmtDate,
TrancheFinalPmtDate = TrancheFinalPmtDate,
Delay = Delay,
InterestPmtFrequency = InterestPmtFrequency,
PrinPmtFrequency = PrinPmtFrequency,
PacLowBand = PacLowBand,
PacHighBand = PacHighBand,
FloaterIndex = FloaterIndex,
InitialIndexValue = InitialIndexValue,
FloaterMargin = FloaterMargin,
FloaterMultiplier = FloaterMultiplier,
FloaterCap = FloaterCap,
FloaterFloor = FloaterFloor,
FloaterInitialCoupon = FloaterInitialCoupon,
FloaterResetFrequency = FloaterResetFrequency,
FloaterFirstResetDate = FloaterFirstResetDate,
FloaterFormula = FloaterFormula,
Group = Group,
TrancheType = TrancheType,
Schedule = Schedule,
Fixed = Fixed)
SaveTranche(DealName = DealName,
TrancheNumber = TrancheNumber,
TrancheFile = temp)}
# Tranches is a class holding a list of the TrancheDetails. This could also
# be a JSON file of list of pairwise data
#' A S4 class Tranches for the REMIC
#'
#' Tranches is a list of the tranche details of each tranche collateralized
#' @slot Tranches a list of TrancheDetail classes
#' @exportClass Tranches
setClass("Tranches",
representation(
Tranches = "list"))
setGeneric("Tranches", function(Tranches = list())
{standardGeneric("Tranches")})
#' A generic function to access the slot Tranches
#'
#' @param object an S4 class object
#' @export
setGeneric("GetTrancheNumber", function(object)
{standardGeneric("GetTrancheNumber")})
# Initialize Tranches class object for Tranches
setMethod("initialize",
signature("Tranches"),
function(.Object,...,
Tranches = list()
){
callNextMethod(.Object,
Tranches = Tranches)
})
#' A method to access the Tranches from class Tranches
#'
#' @param object an S4 class object of type Tranches
#' @exportMethod GetTrancheNumber
setMethod("GetTrancheNumber", signature("Tranches"),
function(object){
object@Tranches
})
# TranchesList assembles the tranches for REMIC structure and is called by
# REMIC constructor function
# The function assembles multiple tranches associated with a deal
# building the tranche classes into a list
#' Aggregator Function for REMIC constructor
#'
#' Aggregates Tranche data for REMIC constructor assembling multiple tranches
#' associated with a collateral group or deal
#' @param NumberofTranches A numeric value the number of tranches in the deal
#' @param DealName A character string the Deal Name
#' @export
TranchesList <- function(NumberofTranches = numeric(),
DealName = "character"){
TrancheList <- list()
for(i in 1: NumberofTranches){
Tranches <- SaveTranches(DealName = DealName,
TrancheNumber = as.character(i))
TrancheList <- append(TrancheList, Tranches)}
new("Tranches",
Tranches = TrancheList)}
# Collateral class holds collateral data for each collateral group
# The collateral class holds pools cusip list and original balance
# this could be a pairwise JSON file
#' A S4 class of the REMIC collateral
#'
#' Collateral class holds collateral details for the collateral group
#' @slot Group a numeric value the collateral group number
#' @slot Cusip a list of the pool cusip(s) in the collateral group
#' @slot OrigBal a list of the Original Balance of each cusip in the
#' collateral group
#' @exportClass Collateral
setClass("Collateral",
representation(
Group = "character",
Cusip = "list",
OrigBal = "list"))
setGeneric("Collateral", function(object)
{standardGeneric("Collateral")})
# Note: standard generic Group is defined above with TrancheDetails
#' A generic function to access a cusip list slot
#'
#' @param object an S4 class object
#' @export
setGeneric("CusipList", function(object)
{standardGeneric("CusipList")})
#' A generic function to access a OrigBal list slot
#'
#' @param object an S4 class object
#' @export
setGeneric("OrigBalList", function(object)
{standardGeneric("OrigBalList")})
# Initialize collateral
setMethod("initialize",
signature ("Collateral"),
function (.Object,...,
Group = "character",
Cusip = list(),
OrigBal = list()
){callNextMethod(.Object,
Group = Group,
Cusip = Cusip,
OrigBal = OrigBal)
})
#' A method to access the GroupNumber from S4 class Collateral
#'
#' @param object An S4 class object of the type Collateral
#' @exportMethod Group
setMethod("Group", signature("Collateral"),
function(object){
object@Group
})
#' A method ot access the cusip list from S4 class Collateral
#'
#' @param object An S4 class object of the type Collateral
#' @exportMethod CusipList
setMethod("CusipList", signature("Collateral"),
function(object){
object@Cusip
})
#' A method to access the original bal list from S4 class Collateral
#'
#' @param object An S4 class object of the type Collaeral
#' @exportMethod OrigBalList
setMethod("OrigBalList", signature("Collateral"),
function(object){
object@OrigBal
})
# Collateral Group Class is an aggregator of the collateral class
# This class assembles multiple collateral groups into a list of
# collateral groups building the collateral groups for the entire
# deal structure
#' An S4 class the groups underlying the REMIC
#'
#' CollateralGroup is an aggregator of the collatreal group class number
#' @slot Group a list of the collateral groups
#' @exportClass CollateralGroup
setClass("CollateralGroup",
representation(
Group = "list"))
setGeneric("CollateralGroup", function(object)
{standardGeneric("CollateralGroup")})
#' A standard generic function to access the CollateralGroup list
#'
#' @param object an list of S4 objects
#' @export
setGeneric("CollateralGroups", function(object)
{standardGeneric("CollateralGroups")})
# Schedule is the projected schedule for a PAC/TAC Schedule
# the scheduled balance are used to compute PAC/TAC Schedule
# and companion bond payments
#' An S4 class REMIC PAC/TAC schedules and payments
#'
#' Schedule class holds the PAC/TAC schedule payments
#' @slot DealName the name of the deal
#' @slot Group the group number
#' @slot PmtDate the payment date
#' @slot Balance the scheduled balance of the PAC/TAC
#' @slot ScheduledPmt the scheduled payment to the PAC/TAC bond
#' @exportClass Schedule
setClass("Schedule",
representation(
DealName = "character",
Group = "numeric",
PmtDate = "character",
Balance = "numeric",
ScheduledPmt = "numeric"))
# This class is the REMIC factor files and belongs to tranche information
# REMIC Disclosure Month End (RDME) Class stores the tranch factor data and
# is part of the assembly of the REMIC
setClass("RDME",
representation(
Cusip = "character",
PaymentDate = "list",
Coupon = "list",
Factor = "list"))
# The TrancheFactors class is an aggregator class
# The class aggregates the RDME classes for each associated trance
setClass("TrancheFactors",
representation(
FactorData = "list"))
# Superclass REMIC structure constructor for REMIC which will be called
# by the waterfall
setClass("REMICStructure",
representation(),
contains = c("RAID",
"Tranches",
"CollateralGroup",
"TrancheFactors"))
# Initialize collateralgroup
setMethod("initialize",
signature("CollateralGroup"),
function (.Object,
Group = list())
{
.Object@Group = Group
return(.Object)
})
# Initialize Schedule
setMethod("initialize",
signature("Schedule"),
function (.Object,
DealName = "character",
Group = numeric(),
PmtDate = "character",
Balance = numeric(),
ScheduledPmt = numeric()){
.Object@DealName = DealName
.Object@Group = Group
.Object@PmtDate = PmtDate
.Object@Balance = Balance
.Object@ScheduledPmt = ScheduledPmt
return(.Object)
})
#Initialize RDME
setMethod("initialize",
signature("RDME"),
function(.Object,
Cusip = "character",
PaymentDate = "list",
Coupon = "list",
Factor = "list")
{
.Object@Cusip = Cusip
.Object@PaymentDate = PaymentDate
.Object@Coupon = Coupon
.Object@Factor = Factor
return(.Object)
})
# Intitialize factors
setMethod("initialize",
signature("TrancheFactors"),
function(.Object,
FactorData = list())
{
.Object@FactorData = FactorData
return(.Object)
})
# initialize REMIC structure superclass
setMethod("initialize",
signature("REMICStructure"),
function(.Object,
DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = "numeric",
JumpReferenceSpeed1 = "numeric",
JumpReferenceSpeed2 = "numeric",
JumpReferenceSpeed3 = "numeric",
JumpReferenceSpeed4 = "numeric",
NumberofTranches = "numeric",
NumberofComponentTranches = "numeric",
NumberofCombinedTranches = "numeric",
NumberofPools = "numeric",
PacSchedulesIncluded = "logical",
NumberofPacSchedules = numeric(),
NumberofGroups = numeric(),
DealSize = numeric(),
CollateralAmount = numeric(),
BondValue = "numeric",
BondValueMethod = "character",
BondValueCap = "numeric",
BondValueDiscountRate = "numeric",
BondValueReinvestmentRate = "numeric",
ExpenseBasisPointFee = "numeric",
ExpenseFixed = "numeric",
ExpensePeriodicity = "numeric",
InitialReserveFund = "numeric",
Tranches = "character",
CollateralGroup = "character",
TrancheFactors ="character")
{
.Object@DealName = DealName
.Object@Issuer = Issuer
.Object@DealNumber = DealNumber
.Object@DealPriceDate = DealPriceDate
.Object@DealSettlementDate = DealSettlementDate
.Object@Underwriter = Underwriter
.Object@Trustee = Trustee
.Object@PricingSpeed = PricingSpeed
.Object@JumpReferenceSpeed1 = JumpReferenceSpeed1
.Object@JumpReferenceSpeed2 = JumpReferenceSpeed2
.Object@JumpReferenceSpeed3 = JumpReferenceSpeed3
.Object@JumpReferenceSpeed4 = JumpReferenceSpeed4
.Object@NumberofTranches = NumberofTranches
.Object@NumberofComponentTranches = NumberofComponentTranches
.Object@NumberofCombinedTranches = NumberofCombinedTranches
.Object@NumberofPools = NumberofPools
.Object@PacSchedulesIncluded = PacSchedulesIncluded
.Object@NumberofPacSchedules = NumberofPacSchedules
.Object@NumberofGroups = NumberofGroups
.Object@DealSize = DealSize
.Object@CollateralAmount = CollateralAmount
.Object@BondValue = BondValue
.Object@BondValueMethod = BondValueMethod
.Object@BondValueCap = BondValueCap
.Object@BondValueDiscountRate = BondValueDiscountRate
.Object@BondValueReinvestmentRate = BondValueReinvestmentRate
.Object@ExpenseBasisPointFee = ExpenseBasisPointFee
.Object@ExpenseFixed = ExpenseFixed
.Object@ExpensePeriodicity = ExpensePeriodicity
.Object@InitialReserveFund = InitialReserveFund
.Object@Tranches = Tranches
.Object@Group = CollateralGroup
.Object@FactorData = TrancheFactors
return(.Object)
})
#=====================================================================================
#The following are Tranches functions for the REMIC constructor
#=====================================================================================
# ----------------------------------------------------------------------
#REMIC Schedules PAC and TAC schedules for REMIC
#This function is called by MakeSchedules
#It has no connection strings this functions constructs the PAC REMIC
#Class with call to new
#' @importFrom lubridate %m+%
BondSchedule <- function(bond.id = "character",
DealName = "character",
Group = "character",
original.bal = numeric(),
trade.date = "character",
settlement.date = "character",
first.pmtdate = "character",
price = numeric(),
begin.cpr = numeric(),
end.cpr = numeric(),
seasoning.period = numeric(),
lower.PSA = numeric(),
upper.PSA = numeric()){
if(missing(lower.PSA)) stop ("Missing Lower PSA")
if(missing(upper.PSA)) stop ("Missing Upper PSA")
if(lower.PSA < 10) stop ("Lower PSA must be in Percentage")
if(upper.PSA < 10) stop ("Upper PSA must be in Percentage")
# ---- connect to the bond data folder
bond.id <- MBS(MBS.id = bond.id)
# ---- connect to rates data folder
rates.data <- Rates(trade.date = trade.date)
# --- connect to mortgage rate model
MortgageRate <- MtgRate()
# --- connect to the prepayment model
ModelTune <- ModelTune(bond.id = bond.id)
TermStructure <- TermStructure(rates.data = rates.data,
method = "ns")
Burnout <- bond.id@Burnout
PSA.Band <- c(lower.PSA/100, upper.PSA/100)
Principal <- list()
for(i in 1 : 2){
begin.cpr <- begin.cpr * PSA.Band[i]
end.cpr <- end.cpr * PSA.Band[i]
PrepaymentAssumption <- PrepaymentAssumption(
bond.id = bond.id,
MortgageRate = MortgageRate,
TermStructure = TermStructure,
PrepaymentAssumption = "PPC",
ModelTune = ModelTune,
Burnout = Burnout,
begin.cpr = begin.cpr,
end.cpr = end.cpr,
seasoning.period = seasoning.period
)
MortgageCashFlow <- MortgageCashFlow(
bond.id = bond.id,
original.bal = original.bal,
settlement.date = settlement.date,
price = price,
PrepaymentAssumption = PrepaymentAssumption)
Principal[[i]] <-MortgageCashFlow@ScheduledPrin +
MortgageCashFlow@PrepaidPrin
}
Matrix <- do.call(cbind,Principal)
colnames(Matrix) <- c(paste(lower.PSA, "PSA", sep = ""),
paste(upper.PSA, "PSA", sep = "") )
PACSched <- apply(Matrix, 1, min)
PACBal <- sum(PACSched)
PmtDate <- as.Date(first.pmtdate, "%m-%d-%Y") %m+% months(0:360)
new("Schedule",
DealName = DealName,
Group = Group,
PmtDate = as.character(PmtDate),
Balance = as.numeric(unname(PACBal - cumsum(PACSched))),
ScheduledPmt = as.numeric(unname(PACSched)))
}
# ---------- function to create and save the PAC schedule class ------------
#' A constructor function to create the PAC Bond Sinking Fund Schedule file
#'
#' Function to create a PAC bond sinking fund schedule file
#' @param bond.id A character string the cusip or id
#' @param DealName A character string the transaction deal name
#' @param Group A character string the tranche's collateral group
#' @param original.bal A numeric value the collateral group original balance
#' @param trade.date A character string the trade date
#' @param settlement.date A character string the settlement date
#' @param first.pmtdate A character string the bond first payment date
#' @param price A numeric value the price of the underlying collateral
#' @param begin.cpr A numeric value the beginning value of the PPC assumption
#' @param end.cpr A numeric value the ending value of the PPC assumption
#' @param seasoning.period A numeric value the length of the PPC ramp
#' @param lower.PSA A numeric value the lower PSA band
#' @param upper.PSA A numeric value the upper PSA band
#' @examples
#' \dontrun{MakeSchedule(bond.id = "BondLabMBS4",DealName = "BondLabPAC01",
#' Group = 1, original.bal = 200000000,first.pmtdate = "01-25-2013",
#' trade.date = "01-10-2013", settlement.date = "01-13-2013",
#' price = 105.75,begin.cpr = .2,end.cpr = 6,
#' seasoning.period = 30,lower.PSA = 75, upper.PSA = 250)}
#' @export
MakeSchedule <- function(bond.id = "character",
DealName = "character",
Group = "character",
original.bal = numeric(),
trade.date = "character",
settlement.date = "character",
first.pmtdate = "character",
price = numeric(),
begin.cpr = numeric(),
end.cpr = numeric(),
seasoning.period = numeric(),
lower.PSA = numeric(),
upper.PSA = numeric()){
temp <- BondSchedule(bond.id = bond.id,
DealName = DealName,
Group = Group,
original.bal = original.bal,
trade.date = trade.date,
settlement.date = settlement.date,
first.pmtdate = first.pmtdate,
price = price,
begin.cpr = begin.cpr,
end.cpr = end.cpr,
seasoning.period = seasoning.period,
lower.PSA = lower.PSA,
upper.PSA = upper.PSA
)
SaveSchedules(DealName = DealName, ScheduleFile = temp)
}
# -------- Collateral groups for the REMIC Constructor -------------------
# 1) construct the collateral class with call to new. This function is
# used by MakeCollateral
Collateral <- function(DealName = "character",
Group = numeric(),
Cusip = list(),
OrigBal = list()){
new("Collateral",
Group = as.numeric(Group),
Cusip = as.list(Cusip),
OrigBal = as.list(OrigBal)
)}
# 2) serialize the collateral information to the groups directory
#' A constructor function to create the collatreal group file for a REMIC
#'
#' Makes Collateral Groups for REMIC structure currently only representative
#' (aggregated collateral groups)
#' is supported. In the future multiple collateral pools or loans are
#' envisioned.
#' @param DealName A character string the deal's name
#' @param Group A numeric value the collateral group number
#' @param Cusip A list the collateral group name, collateral pool cusips,
#' or loan numbers.
#' @param OrigBal A list the original balance of the collateral group name,
#' pool cusip or loan numbers used in the deal
#' @examples
#' \dontrun{
#' MakeCollateral(DealName = "BondLabPACInverse",
#' Group = 1,
#' Cusip = list("bondlabMBS4"),
#' OrigBal = list("200000000"))
#' }
#'@export
MakeCollateral <- function(DealName = "character",
Group = numeric(),
Cusip = list(),
OrigBal = list()){
temp <- Collateral(DealName = DealName,
Group = Group,
Cusip = Cusip,
OrigBal = OrigBal)
SaveCollGroup(FileName = temp,
DealName = DealName,
Group = Group)
}
#-------------------------------------------------------------------------
# 3) aggregator function for the REMIC structure called by REMIC constructor
# the function assembles multiple collateral groups can be extended to
# loan level
#' A function to aggregate the collateral group information
#'
#' The function is used by the REMIC Constructor
#' @param NumberofGroups A numeric value the number collateral groups
#' @param DealName A character string the Deal Name
#' @export
CollateralGroup <- function(NumberofGroups = numeric(),
DealName = "character"){
GroupList <- list()
for(i in 1 : NumberofGroups){
connGroup <- REMICGroupConn(DealName = DealName, Group = i)
#connGroup <- gzfile(description = paste("~/BondLab/Groups/",
#DealName,"_","Group","_",i,".rds", sep = ""))
Group <- readRDS(connGroup)
GroupList <- append(GroupList, Group)
}
new("CollateralGroup",
Group = GroupList)
}
# ------ RDME Functions for the REMIC structuring tool -----
# 1) construct the tranche factors with the call to new
RDME <- function(Cusip = "character",
PaymentDate = "character",
Coupon = numeric(),
Factor = numeric()){
new("RDME",
Cusip = Cusip,
PaymentDate = PaymentDate,
Coupon = Coupon,
Factor = Factor)
}
# 2) serailize tranche factor date to RDME directory
#' A constructor function for the REMIC Disclosure Month End (RDME) file
#'
#' A constructor for the REMIC Month End Discloure. This file the
#' monthly factor data for each Tranche
#' @param DealName A charcter string the deal name
#' @param TrancheNumber A numeric value the number of the Tranche
#' @param Cusip A character string the tranche cusip
#' @param PaymentDate A character string the payment date
#' coinciding with the factor data
#' @param Coupon A numeric value the tranche's coupon
#' @param Factor A numeric value the tranche's factor
#' @examples
#' \dontrun{
#' MakeRDME(DealName = "BondLabPACInverse",
#' TrancheNumber = 1,
#' Cusip = "BondLabPAC2",
#' PaymentDate = "01-01-2013",
#' Coupon = 2.25,
#' Factor = 1)
#'
#' MakeRDME(DealName = "BondLabPACInverse",
#' TrancheNumber = 2,
#' Cusip = "BondLabFltr",
#' PaymentDate = "1-01-2013",
#' Coupon = 0.55,
#' Factor = 1)
#'
#' MakeRDME(DealName = "BondLabPACInverse",
#' TrancheNumber = 3,
#' Cusip = "BondLabCMP1",
#' PaymentDate = "1-01-2013",
#' Coupon = 9.21,
#' Factor = 1)
#'
#' MakeRDME(DealName = "BondLabPACInverse",
#' TrancheNumber = 4,
#' Cusip = "BondLabPACIO",
#' PaymentDate = "1-01-2013",
#' Coupon = 1.75,
#' Factor = 1)}
#'@export
MakeRDME <- function(DealName = "character",
TrancheNumber = numeric(),
Cusip = "character",
PaymentDate = "character",
Coupon = numeric(),
Factor = numeric()){
temp <- RDME(Cusip = Cusip,
PaymentDate = PaymentDate,
Coupon = Coupon,
Factor = Factor)
SaveRDME(FileName = temp,
DealName = DealName,
TrancheNumber = TrancheNumber)
}
# 3) aggregator function for tranche factor information
# called by REMIC contructor
#' A function to aggregate monthly updated factor data
#'
#' Aggregator function used by the REMIC constructor to aggregate
#' Monthly Factor Data
#' @param NumberofTranches A numeric value the Number of traches
#' related to the collateral group
#' @param DealName A character string the Deal Name
#' @export
RDMEData <- function(NumberofTranches = numeric(), DealName = "character"){
RDMEList <- list()
for(i in 1 : NumberofTranches){
RDMEFactor <- RDMEFactor(DealName = DealName, TrancheNumber = i)
#TrancesFactor <- function(DealName = "character",
#TrancheNumber = numeric()){
#connRDME <- gzfile(description = paste(
#"~/BondLab/RDME/",DealName,"_","Tranche","_",TrancheNumber,"_",
#"Factor",".rds", sep = ""))
#RDMEFactor <- readRDS(connRDME)
#return(RDMEFactor)
#close(connRDME)
#}
RDMEList <- append(RDMEList, RDMEFactor)
}
new("TrancheFactors",
FactorData = RDMEList)
}
# REMIC Constructor Function these functions are used to assemble the
# RAID, Tranches, RDME, and Collateral Groups into a single REMIC structure
#' The constructor function to build the REMIC deal from each of its elements
#'
#' The function Assembles the deal RAID, RDME, Tranches, and Groups files
#' into a REMIC structure
#' @param DealName A character string the deal's names
#' @examples
#' \dontrun{
#' RemicStructure("BondLabPACInverse")
#' }
#'@export
RemicStructure <- function(DealName = "character"){
RAID <- ReadRAID(RAIDFile = DealName)
Tranche <- TranchesList(NumberofTranches = RAID@NumberofTranches,
DealName = RAID@DealName)
CollateralGroupData <- CollateralGroup(NumberofGroups = RAID@NumberofGroups,
DealName = RAID@DealName)
FactorData <- RDMEData(NumberofTranches = RAID@NumberofTranches,
DealName = RAID@DealName)
REMIC <-new("REMICStructure",
DealName = RAID@DealName,
Issuer = RAID@Issuer,
DealNumber = RAID@DealNumber,
DealPriceDate = RAID@DealPriceDate,
DealSettlementDate = RAID@DealSettlementDate,
Underwriter = RAID@Underwriter,
Trustee = RAID@Trustee,
PricingSpeed = RAID@PricingSpeed,
JumpReferenceSpeed1 = RAID@JumpReferenceSpeed1,
JumpReferenceSpeed2 = RAID@JumpReferenceSpeed2,
JumpReferenceSpeed3 = RAID@JumpReferenceSpeed3,
JumpReferenceSpeed4 = RAID@JumpReferenceSpeed4,
NumberofTranches = RAID@NumberofTranches,
NumberofComponentTranches = RAID@NumberofComponentTranches,
NumberofCombinedTranches = RAID@NumberofCombinedTranches,
NumberofPools = RAID@NumberofPools,
PacSchedulesIncluded = RAID@PacSchedulesIncluded,
NumberofPacSchedules = RAID@NumberofPacSchedules,
NumberofGroups = RAID@NumberofGroups,
DealSize = RAID@DealSize,
CollateralAmount = RAID@CollateralAmount,
BondValue = RAID@BondValue,
BondValueMethod = RAID@BondValueMethod,
BondValueCap = RAID@BondValueCap,
BondValueDiscountRate = RAID@BondValueDiscountRate,
BondValueReinvestmentRate = RAID@BondValueReinvestmentRate,
ExpenseBasisPointFee = RAID@ExpenseBasisPointFee,
ExpenseFixed = RAID@ExpenseFixed,
ExpensePeriodicity = RAID@ExpensePeriodicity,
InitialReserveFund = RAID@InitialReserveFund,
Tranches = Tranche@Tranches,
CollateralGroup = CollateralGroupData@Group,
TrancheFactors = FactorData@FactorData)
SaveREMIC(DealName = DealName, file = REMIC)
}
glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
# 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/>.
#' @include MBSDetails.R
NULL
#' An S4 class the REMIC At Issuance Disclosure (RAID) Information
#'
#' The RAID File contains the REMIC at issuance discloure data. The data is
#' static data describing the REMIC at the time of issuance
#' @slot DealName A character the deal name.
#' @slot Issuer A character the deal Issuer.
#' @slot DealNumber A character the deal number.
#' @slot DealPriceDate A character the pricing date of the transaction.
#' @slot DealSettlementDate A character the settlement date.
#' @slot Underwriter A character the Underwriter of the deal.
#' @slot Trustee A character the Trustee of the deal.
#' @slot PricingSpeed A numeric value the PricingSpeed of the deal.
#' @slot JumpReferenceSpeed1 A numeric value the Jump Bond Reference Speed1.
#' @slot JumpReferenceSpeed2 A numeric value the Jump Bond Reference Speed2.
#' @slot JumpReferenceSpeed3 A numeric value the Jump Bond Reference Speed3.
#' @slot JumpReferenceSpeed4 A numeric value the Jump Bond Reference Speed4.
#' @slot JumpReferenceSpeed5 A numeric value the Jump Bond Reference Speed5.
#' @slot NumberofTranches A numeric value the number of Tranches.
#' @slot NumberofComponentTranches A numeric value the number of Component
#' Tranches in the deal.
#' @slot NumberofCombinedTranches A numeric value the number of Combined
#' Tranches in the deal.
#' @slot NumberofPools A numeric value the number of pools in the deal.
#' @slot PacSchedulesIncluded A logical value the indicating if PAC Schedules
#' are included as part of the REMIC at issuance disclosure.
#' @slot NumberofPacSchedules A numeric value number of PAC Schedules reported
#' at the time of the REMIC issuance.
#' @slot NumberofGroups A numeric value the number of collateral groups in the
#' REMIC transaction.
#' @slot DealSize A numeric value the at issuance original balance of the
#' REMIC.
#' @slot CollateralAmount A numeric value the current balance of the
#' collateral at REMIC issuance.
#' @slot CollateralAvgLife A numeric value the at issuance average life of the
#' collateral.
#' @slot BondValue A numeric value the bond value.
#' @slot BondValueMethod A numeric value the bond value method.
#' @slot BondValueCap A numeric value the bond value cap.
#' @slot BondValueDiscountRate A numeric value the bond value discount rate
#' @slot BondValueReinvestmentRate A numeric value the bond value reinvestment
#' rate
#' @slot ExpenseBasisPointFee A numeric value the deal expense fee
#' in basis points.
#' @slot ExpenseFixed A numeric value the fixed expenses charged to the deal.
#' @slot ExpensePeriodicity A numeric value the frequency at which expenses
#' are charged to the deal.
#' @slot InitialReserveFund = A numeric value the initial reserve fund.
#' @exportClass RAID
setClass("RAID",
representation(
DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = "numeric",
JumpReferenceSpeed1 = "numeric",
JumpReferenceSpeed2 = "numeric",
JumpReferenceSpeed3 = "numeric",
JumpReferenceSpeed4 = "numeric",
JumpReferenceSpeed5 = "numeric",
NumberofTranches = "numeric",
NumberofComponentTranches = "numeric",
NumberofCombinedTranches = "numeric",
NumberofPools = "numeric",
PacSchedulesIncluded = "logical",
NumberofPacSchedules = "numeric",
NumberofGroups = "numeric",
DealSize = "numeric",
CollateralAmount = "numeric",
CollateralAvgLife = "numeric",
BondValue = "numeric",
BondValueMethod = "character",
BondValueCap = "numeric",
BondValueDiscountRate = "numeric",
BondValueReinvestmentRate = "numeric",
ExpenseBasisPointFee = "numeric",
ExpenseFixed = "numeric",
ExpensePeriodicity = "numeric",
InitialReserveFund = "numeric"))
setGeneric("RAID", function( DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = "numeric",
JumpReferenceSpeed1 = "numeric",
JumpReferenceSpeed2 = "numeric",
JumpReferenceSpeed3 = "numeric",
JumpReferenceSpeed4 = "numeric",
JumpReferenceSpeed5 = "numeric",
NumberofTranches = "numeric",
NumberofComponentTranches = "numeric",
NumberofCombinedTranches = "numeric",
NumberofPools = "numeric",
PacSchedulesIncluded = "logical",
NumberofPacSchedules = "numeric",
NumberofGroups = "numeric",
DealSize = "numeric",
CollateralAmount = "numeric",
CollateralAvgLife = "numeric",
BondValue = "numeric",
BondValueMethod = "character",
BondValueCap = "numeric",
BondValueDiscountRate = "numeric",
BondValueReinvestmentRate = "numeric",
ExpenseBasisPointFee = "numeric",
ExpenseFixed = "numeric",
ExpensePeriodicity = "numeric",
InitialReserveFund = "numeric")
{standardGeneric("RAID")})
#' A generic function to access the slot DealName
#'
#' @param object an S4 class object
#' @export
setGeneric("DealName", function(object)
{standardGeneric("DealName")})
# standard generic Issuer is defined in passthroughconstructor
#' A generic function to access the slot DealNumber
#'
#' @param object an S4 class object
#' @export
setGeneric("DealNumber", function(object)
{standardGeneric("DealNumber")})
#' A generic function to access the slot DealPriceDate
#'
#' @param object an S4 class object
#' @export
setGeneric("DealPriceDate", function(object)
{standardGeneric("DealPriceDate")})
#' A generic function to access the slot DealSettlementDate
#'
#' @param object an S4 class object
#' @export
setGeneric("DealSettlementDate", function(object)
{standardGeneric("DealSettlementDate")})
# standard generic Underwriter is defined in passthrough constructor
#' A generic function to access the slot Trustee
#'
#' @param object an S4 class object
#' @export
setGeneric("Trustee", function(object)
{standardGeneric("Trustee")})
#' A generic function to access the slot PricingSpeed
#'
#' @param object an S4 class object
#' @export
setGeneric("PricingSpeed", function(object)
{standardGeneric("PricingSpeed")})
#' A generic function to access the slot JumpReferenceSpeed1
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed1", function(object)
{standardGeneric("JumpReferenceSpeed1")})
#' A generic function to access the slot JumpReferenceSpeed2
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed2", function(object)
{standardGeneric("JumpReferenceSpeed2")})
#' A generic function to access the slot JumpReferenceSpeed3
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed3", function(object)
{standardGeneric("JumpReferenceSpeed3")})
#' A generic function to access the slot JumpReferenceSpeed4
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed4", function(object)
{standardGeneric("JumpReferenceSpeed4")})
#' generic function to access the slot JumpReferenceSpeed5
#'
#' @param object an S4 class object
#' @export
setGeneric("JumpReferenceSpeed5", function(object)
{standardGeneric("JumpReferenceSpeed5")})
#' A generic function to access the slot NumberofTranches
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofTranches", function(object)
{standardGeneric("NumberofTranches")})
#' A generic function to access the slot NumberofComponentTranches
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofComponentTranches", function(object)
{standardGeneric("NumberofComponentTranches")})
#' A generic function to access the slot NumberofCombinedTranches
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofCombinedTranches", function(object)
{standardGeneric("NumberofCombinedTranches")})
#' A generic function to access the slot NumberofPools
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofPools", function(object)
{standardGeneric("NumberofPools")})
#' A generic function to access the slot PacSchedulesIncluded
#'
#' @param object an S4 class object
#' @export
setGeneric("PacSchedulesIncluded", function(object)
{standardGeneric("PacSchedulesIncluded")})
#' A generic function to access the slot NumberofPacSchedules
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofPacSchedules", function(object)
{standardGeneric("NumberofPacSchedules")})
#' A generic function to access the slot NumberofGroups
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofGroups", function(object)
{standardGeneric("NumberofGroups")})
#' A generic function to access the slot DealSize
#'
#' @param object an S4 class object
#' @export
setGeneric("DealSize", function(object)
{standardGeneric("DealSize")})
#' A generic function to access the slot CollateralAmount
#'
#' @param object an S4 class object
#' @export
setGeneric("CollateralAmount", function(object)
{standardGeneric("CollateralAmount")})
#' A generic function to access the slot CollateralAverageLife
#'
#' @param object an S4 class object
#' @export
setGeneric("CollateralAvgLife", function(object)
{standardGeneric("CollateralAvgLife")})
#' A generic function to access the slot BondValue
#'
#' @param object an S4 class object
#' @export
setGeneric("BondValue", function(object)
{standardGeneric("BondValue")})
#' A generic function to access the slot BondValueMethod
#'
#' @param object an S4 class object
#' @export
setGeneric("BondValueMethod", function(object)
{standardGeneric("BondValueMethod")})
#' A generic function to access the slot BondValueCap
#'
#' @param object an S4 class object
#' @export
setGeneric("BondValueCap", function(object)
{standardGeneric("BondValueCap")})
#' A generic function to access the slot BondValueDiscountRate
#'
#' @param object an S4 class object
#' @export
setGeneric("BondValueDiscountRate", function(object)
{standardGeneric("BondValueDiscountRate")})
#' A generic function to access the slot BondValueReinvestmentRate
#'
#' @param object an S4 clss object
#' @export
setGeneric("BondValueReinvestmentRate", function(object)
{standardGeneric("BondValueReinvestmentRate")})
#' A generic function to access the slot ExpenseBasisPointFee
#'
#' @param object an S4 class object
#' @export
setGeneric("ExpenseBasisPointFee", function(object)
{standardGeneric("ExpenseBasisPointFee")})
#' A generic function to access the slot ExpenseFixed
#'
#' @param object an S4 class object
#' @export
setGeneric("ExpenseFixed", function(object)
{standardGeneric("ExpenseFixed")})
#' A generic function to access the slot ExpensePeriodicity
#'
#' @param object an S4 class object
#' @export
setGeneric("ExpensePeriodicity", function(object)
{standardGeneric("ExpensePeriodicity")})
#' A generic function to access the slot InitialReserveFund
#'
#' @param object an S4 object
#' @export
setGeneric("InitialReserveFund", function(object)
{standardGeneric("InitialReserveFund")})
# Initialize RAID class
setMethod("initialize",
signature("RAID"),
function (.Object,...,
DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = numeric(),
JumpReferenceSpeed1 = numeric(),
JumpReferenceSpeed2 = numeric(),
JumpReferenceSpeed3 = numeric(),
JumpReferenceSpeed4 = numeric(),
JumpReferenceSpeed5 = numeric(),
NumberofTranches = numeric(),
NumberofComponentTranches = numeric(),
NumberofCombinedTranches = numeric(),
NumberofPools = numeric(),
PacSchedulesIncluded = "logical",
NumberofPacSchedules = numeric(),
NumberofGroups = numeric(),
DealSize = numeric(),
CollateralAmount = numeric(),
CollateralAvgLife = numeric(),
BondValue = numeric(),
BondValueMethod = "character",
BondValueCap = numeric(),
BondValueDiscountRate = numeric(),
BondValueReinvestmentRate = numeric(),
ExpenseBasisPointFee = numeric(),
ExpenseFixed = numeric(),
ExpensePeriodicity = numeric(),
InitialReserveFund = numeric()
){
callNextMethod(.Object,
DealName = DealName,
Issuer = Issuer,
DealNumber = DealNumber,
DealPriceDate = DealPriceDate,
DealSettlementDate = DealSettlementDate,
Underwriter = Underwriter,
Trustee = Trustee,
PricingSpeed = PricingSpeed,
JumpReferenceSpeed1 = JumpReferenceSpeed1,
JumpReferenceSpeed2 = JumpReferenceSpeed2,
JumpReferenceSpeed3 = JumpReferenceSpeed3,
JumpReferenceSpeed4 = JumpReferenceSpeed4,
JumpReferenceSpeed5 = JumpReferenceSpeed5,
NumberofTranches = NumberofTranches,
NumberofComponentTranches = NumberofComponentTranches,
NumberofCombinedTranches = NumberofCombinedTranches,
NumberofPools = NumberofPools,
PacSchedulesIncluded = PacSchedulesIncluded,
NumberofPacSchedules = NumberofPacSchedules,
NumberofGroups = NumberofGroups,
DealSize = DealSize,
CollateralAmount = CollateralAmount,
CollateralAvgLife = CollateralAvgLife,
BondValue = BondValue,
BondValueMethod = BondValueMethod,
BondValueCap = BondValueCap,
BondValueDiscountRate = BondValueDiscountRate,
BondValueReinvestmentRate = BondValueReinvestmentRate,
ExpenseBasisPointFee = ExpenseBasisPointFee,
ExpenseFixed = ExpenseFixed,
ExpensePeriodicity = ExpensePeriodicity,
InitialReserveFund = InitialReserveFund)
})
#' A method to access the slot DealName from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod DealName
setMethod("DealName", signature("RAID"),
function(object){
object@DealName
})
#' A method to access the slot Issuer from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod Issuer
setMethod("Issuer", signature("RAID"),
function(object){
object@Issuer
})
#' A method to access the slot DealNumber from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod DealNumber
setMethod("DealNumber", signature("RAID"),
function(object){
object@DealNumber
})
#' A method to access the slot DealPriceDate from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod DealPriceDate
setMethod("DealPriceDate", signature("RAID"),
function(object){
object@DealPriceDate
})
#' A method to access the slot DealSettlementDate from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod DealSettlementDate
setMethod("DealSettlementDate", signature("RAID"),
function(object){
object@DealSettlementDate
})
#' A method to access the slot Underwriter from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod Underwriter
setMethod("Underwriter", signature("RAID"),
function(object){
object@Underwriter
})
#' A method to access the slot Trustee from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod Trustee
setMethod("Trustee", signature("RAID"),
function(object){
object@Trustee
})
#' A method to access the slot PricingSpeed from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod PricingSpeed
setMethod("PricingSpeed", signature("RAID"),
function(object){
object@PricingSpeed
})
#' A method to access the slot JumpReferenceSpeed1 from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod JumpReferenceSpeed1
setMethod("JumpReferenceSpeed1", signature("RAID"),
function(object){
object@JumpReferenceSpeed1
})
#' A method to access the slot JumpReferenceSpeed2 from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod JumpReferenceSpeed2
setMethod("JumpReferenceSpeed2", signature("RAID"),
function(object){
object@JumpReferenceSpeed2
})
#' A method to access the slot JumpReferenceSpeed3 from class RAID
#'
#' @param object an S4 object of the type RAID
#' @exportMethod JumpReferenceSpeed3
setMethod("JumpReferenceSpeed3", signature("RAID"),
function(object){
object@JumpReferenceSpeed3
})
#' A method to access the slot JumpReferenceSpeed4 from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod JumpReferenceSpeed4
setMethod("JumpReferenceSpeed4", signature("RAID"),
function(object){
object@JumpReferenceSpeed4
})
#' A method to access the slot JumpReferenceSpeed5 from class RAID
#'
#' @param object an S4 class of typre RAID
#' @exportMethod JumpReferenceSpeed5
setMethod("JumpReferenceSpeed5", signature("RAID"),
function(object){
object@JumpReferenceSpeed5
})
#' A method to access the slot NumberofTranches from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod NumberofTranches
setMethod("NumberofTranches", signature("RAID"),
function(object){
object@NumberofTranches
})
#' A method to access the slot NumberofCombinedTranches from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod NumberofCombinedTranches
setMethod("NumberofCombinedTranches", signature("RAID"),
function(object){
object@NumberofCombinedTranches
})
#' A method to access the slot NumberofPools from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod NumberofPools
setMethod("NumberofPools", signature("RAID"),
function(object){
object@NumberofPools
})
#' A method to access the slot PacSchedulesIncluded from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod PacSchedulesIncluded
setMethod("PacSchedulesIncluded", signature("RAID"),
function(object){
object@PacjSchedulesIncluded
})
#' A method to access the slot NumberofPacSchedules from class RAID
#'
#' @param object an S4 class object of type RAID
#' @exportMethod NumberofPacSchedules
setMethod("NumberofPacSchedules", signature("RAID"),
function(object){
object@NumberofPacSchedules
})
#' A method to access the slot NumberofGroups from class RAID
#'
#' @param object an S4 class object of type RAID
#' @exportMethod NumberofGroups
setMethod("NumberofGroups", signature("RAID"),
function(object){
object@NumberofGroups
})
#' A method to access the slot DealSize from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod DealSize
setMethod("DealSize", signature("RAID"),
function(object){
object@DealSize
})
#' A method to access the slot CollateralAmount from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod CollateralAmount
setMethod("CollateralAmount", signature("RAID"),
function(object){
object@CollateralAmount
})
#' A method to access the slot CollateralAvgLife from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod CollateralAvgLife
setMethod("CollateralAvgLife", signature("RAID"),
function(object){
object@CollateralAvgLife
})
#' A method to access the slot BondValue from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod BondValue
setMethod("BondValue", signature("RAID"),
function(object){
object@BondValue
})
#' A method to access the slot BondValueMethod from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod BondValueMethod
setMethod("BondValueMethod", signature("RAID"),
function(object){
object@BondValueMethod
})
#' A method to access the slot BondValueCap from class RAID
#'
#' @param object an S4 class of type RAID
#' @exportMethod BondValueCap
setMethod("BondValueCap", signature("RAID"),
function(object){
object@BondValueCap
})
#' A method to access the slot BondValueDiscountRate from class RAID
#'
#' @param object an S4 class of the type BondValueDiscountRate
#' @exportMethod BondValueDiscountRate
setMethod("BondValueDiscountRate", signature("RAID"),
function(object){
object@BondValueDiscountRate
})
#' A method to access the slot BondValueReinvestmentRate from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod BondValueReinvestmentRate
setMethod("BondValueReinvestmentRate", signature("RAID"),
function(object){
object@BondValueReinvestmentRate
})
#' A method to access the slot ExpenseBasisPointFee from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod ExpenseBasisPointFee
setMethod("ExpenseBasisPointFee", signature("RAID"),
function(object){
object@ExpenseBasisPointFee
})
#' A method to access the slot ExpenseFixed from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod ExpenseFixed
setMethod("ExpenseFixed", signature("RAID"),
function(object){
object@ExpenseFixed
})
#' A method to access the slot ExpensePeriodicity from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod ExpensePeriodicity
setMethod("ExpensePeriodicity", signature("RAID"),
function(object){
object@ExpensePeriodicity
})
#' A method to extract slot InitialReserveFund from class RAID
#'
#' @param object an S4 class of the type RAID
#' @exportMethod InitialReserveFund
setMethod("InitialReserveFund", signature("RAID"),
function(object){
object@InitialReserveFund
})
# Raid is a constructor function used by MakeRaid which is the constructor
# function exposed to the user and which saves the RAID data to the
# appropriate data folder. Alternatively, on could save the RAID data to a
# SQL or NoSQL database.
RAID <- function(DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = numeric(),
JumpReferenceSpeed1 = numeric(),
JumpReferenceSpeed2 = numeric(),
JumpReferenceSpeed3 = numeric(),
JumpReferenceSpeed4 = numeric(),
JumpReferenceSpeed5 = numeric(),
NumberofTranches = numeric(),
NumberofComponentTranches = numeric(),
NumberofCombinedTranches = numeric(),
NumberofPools = numeric(),
PacSchedulesIncluded = "logical",
NumberofPacSchedules = numeric(),
NumberofGroups = numeric(),
DealSize = numeric(),
CollateralAmount = numeric(),
CollateralAvgLife = numeric(),
BondValue = numeric(),
BondValueMethod = "character",
BondValueCap = numeric(),
BondValueDiscountRate = numeric(),
BondValueReinvestmentRate = numeric(),
ExpenseBasisPointFee = numeric(),
ExpenseFixed = numeric(),
ExpensePeriodicity = numeric(),
InitialReserveFund = numeric()
){
new("RAID",
DealName = DealName,
Issuer = Issuer,
DealNumber = DealNumber,
DealPriceDate = DealPriceDate,
DealSettlementDate = DealSettlementDate,
Underwriter = Underwriter,
Trustee = Trustee,
PricingSpeed = PricingSpeed,
JumpReferenceSpeed1 = JumpReferenceSpeed1,
JumpReferenceSpeed2 = JumpReferenceSpeed2,
JumpReferenceSpeed3 = JumpReferenceSpeed3,
JumpReferenceSpeed4 = JumpReferenceSpeed4,
JumpReferenceSpeed5 = JumpReferenceSpeed5,
NumberofTranches = NumberofTranches,
NumberofComponentTranches = NumberofComponentTranches,
NumberofCombinedTranches = NumberofCombinedTranches,
NumberofPools = NumberofPools,
PacSchedulesIncluded = PacSchedulesIncluded,
NumberofPacSchedules = NumberofPacSchedules,
NumberofGroups = NumberofGroups,
DealSize = DealSize,
CollateralAmount = CollateralAmount,
CollateralAvgLife = CollateralAvgLife,
BondValue = BondValue,
BondValueMethod = BondValueMethod,
BondValueCap = BondValueCap,
BondValueDiscountRate = BondValueDiscountRate,
BondValueReinvestmentRate = BondValueReinvestmentRate,
ExpenseBasisPointFee = ExpenseBasisPointFee,
ExpenseFixed = ExpenseFixed,
ExpensePeriodicity = ExpensePeriodicity,
InitialReserveFund = InitialReserveFund
)
}
#' A constructor function for the REMIC At Issuance Disclosure file
#'
#' The RAID function creates the REMIC At Issuance Disclosure file
#' @param DealName A character string the deal name
#' @param Issuer A character string the Isser Name
#' @param DealNumber A character string the Deal Number
#' @param DealPriceDate A character string the Deal Pricing Date
#' @param DealSettlementDate A character string the Deal Settlement Date
#' @param Underwriter A character string the Deal Underwriter
#' @param Trustee A character string the deal Trustee
#' @param PricingSpeed A numeric value the deal pricing speed
#' @param JumpReferenceSpeed1 A numeric value the Jump Z speed
#' @param JumpReferenceSpeed2 A numeric value the Jump Z speed
#' @param JumpReferenceSpeed3 A numeric value the Jump Z speed
#' @param JumpReferenceSpeed4 A numeric value the Jump Z speed
#' @param JumpReferenceSpeed5 A numeric value the Jump S speed
#' @param NumberofTranches A numeric value the number of Tranches
#' @param NumberofComponentTranches A numeric value the number of
#' component Tranches
#' @param NumberofCombinedTranches A numeric value the number of
#' combined Tranches
#' @param NumberofPools A numeric value the number of pools
#' @param PacSchedulesIncluded A logical value TRUE/FALSE
#' @param NumberofPacSchedules A numeric value the number of PAC schedules
#' @param NumberofGroups A numeric value the number of groups
#' @param DealSize A numeric value the original balance of all tranches
#' @param CollateralAmount A numeric value the current face amount of
#' the collateral
#' @param CollateralAvgLife A numeric value the avg life of the collateral
#' @param BondValue A numeric value the bond price
#' @param BondValueMethod A character string the valuation method
#' @param BondValueCap A numeric value the Bond Coupon Cap Rate
#' @param BondValueDiscountRate A numeric value the Bond discount rate
#' @param BondValueReinvestmentRate A numeric value the assumed trust
#' reinvestment rate
#' @param ExpenseBasisPointFee A numeric value the expense of the Trust
#' @param ExpenseFixed A numeric value the fixed expenses of the Trust
#' @param ExpensePeriodicity A numeric value the calender payment of expenses
#' @param InitialReserveFund A numeric value the amount of the initial
#' reserve fund
#' @examples
#' \dontrun{Need Example}
#' @export MakeRAID
MakeRAID <- function(DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = numeric(),
JumpReferenceSpeed1 = numeric(),
JumpReferenceSpeed2 = numeric(),
JumpReferenceSpeed3 = numeric(),
JumpReferenceSpeed4 = numeric(),
JumpReferenceSpeed5 = numeric(),
NumberofTranches = numeric(),
NumberofComponentTranches = numeric(),
NumberofCombinedTranches = numeric(),
NumberofPools = numeric(),
PacSchedulesIncluded = "logical",
NumberofPacSchedules = numeric(),
NumberofGroups = numeric(),
DealSize = numeric(),
CollateralAmount = numeric(),
CollateralAvgLife = numeric(),
BondValue = numeric(),
BondValueMethod = "character",
BondValueCap = numeric(),
BondValueDiscountRate = numeric(),
BondValueReinvestmentRate = numeric(),
ExpenseBasisPointFee = numeric(),
ExpenseFixed = numeric(),
ExpensePeriodicity = numeric(),
InitialReserveFund = numeric()){
temp <-RAID(DealName = DealName,
Issuer = Issuer,
DealNumber = DealNumber,
DealPriceDate = DealPriceDate,
DealSettlementDate = DealSettlementDate,
Underwriter = Underwriter,
Trustee = Trustee,
PricingSpeed = PricingSpeed,
JumpReferenceSpeed1 = JumpReferenceSpeed1,
JumpReferenceSpeed2 = JumpReferenceSpeed2,
JumpReferenceSpeed3 = JumpReferenceSpeed3,
JumpReferenceSpeed4 = JumpReferenceSpeed4,
JumpReferenceSpeed5 = JumpReferenceSpeed5,
NumberofTranches = NumberofTranches,
NumberofComponentTranches = NumberofComponentTranches,
NumberofCombinedTranches = NumberofCombinedTranches,
NumberofPools = NumberofPools,
PacSchedulesIncluded = PacSchedulesIncluded,
NumberofPacSchedules = NumberofPacSchedules,
NumberofGroups = NumberofGroups,
DealSize = DealSize,
CollateralAmount = CollateralAmount,
CollateralAvgLife = CollateralAvgLife,
BondValue = BondValue,
BondValueMethod = BondValueMethod,
BondValueCap = BondValueCap,
BondValueDiscountRate = BondValueDiscountRate,
BondValueReinvestmentRate = BondValueReinvestmentRate,
ExpenseBasisPointFee = ExpenseBasisPointFee,
ExpenseFixed = ExpenseFixed,
ExpensePeriodicity = ExpensePeriodicity,
InitialReserveFund = InitialReserveFund)
SaveRAID(RAIDFile = temp)}
#' An S4 Class TrancheDetails at Issuance
#'
#' Tranche Details is static data Tranche changes are updated
#' via REMIC Data Month End (RDME) classes
#' @slot DealName A character the deal name
#' @slot TrancheNumber A character the tranche number
#' @slot NumberofComponents A numeric value the number of components
#' @slot ComponentofTranches A character the component of tranches
#' @slot TrancheName A character the tranche name
#' @slot TranchePrincipal A character the principal
#' @slot TranchePrincipalDesc A character the tranche principal description
#' @slot TrancheInterestDesc A character the tranche interest description
#' @slot TrancheOtherDescription A character additional tranche decriptive
#' information
#' @slot Cusip A character the tranche cusip identifier
#' @slot TrancheOrigBal A numeric value the tranche original balance
#' @slot TrancheInterest A character the tranche interest
#' @slot TrancheCoupon A numeric value the tranche coupon
#' @slot AccrualRate A numeric value the tranche accrual rate
#' @slot TreasuryMaturity A numeric value the maturity of the
#' benchmark Treasury at issuance
#' @slot TreasuryYield A numueric value the yield of the benchmark Treasury
#' @slot TreasurySpread A numeric value the tranche spread over the
#' benchmark Treasury at issuance
#' @slot TrancheYield A numeric value the tranche yield at issuance
#' @slot TranchePrice A numeric value the tranche price at issuance
#' @slot TrancheProceedsWithInterest A numeric value the tranche proceeds at
#' issuance principal and interest
#' @slot TrancheAvgLife A numeric vlaue the tranche average life at issuance
#' @slot TrancheDuration A numeric value the tranche duration at issuance
#' @slot TrancheDatedDate A character the dated date of the tranche
#' @slot TrancheFirstPmtDate A character the first payment date of the tranche
#' @slot TrancheLastPmtDate A character the last payment date of the tranche
#' @slot TrancheNextPmtDate A character the next payment date of the tranche
#' @slot TrancheFinalPmtDate A character the final payment date of the tranche
#' @slot Delay A numeric value the delay days of payment to the investor
#' @slot InterestPmtFrequency A numeric value the frequency of
#' interest payments to the investor
#' @slot PrinPmtFrequency A numeric value the frequency of principal
#' payments to the investor
#' @slot PacLowBand A numeric value lower PAC band
#' @slot PacHighBand A numeric value upper PAC band
#' @slot FloaterIndex A character the floating rate index used to determine
#' the floating rate bond coupon
#' @slot InitialIndexValue A numeric value the value of the floater index at
#' issuance
#' @slot FloaterMargin A numeric value the floater margin
#' @slot FloaterMultiplier A numeric value the floater multiplier
#' @slot FloaterCap A numeric vlaue the floating rate bond cap
#' @slot FloaterFloor A numeric value the floating rate bond floor
#' @slot FloaterInitialCoupon A numeric value the floater initial coupon
#' @slot FloaterResetFrequency A numeric value the frequency at which the
#' floating coupon changes
#' @slot FloaterFirstResetDate a numeric vlaue the first reset date of the
#' floating rate bond
#' @slot FloaterFormula A function used to calculate the floating rate bond
#' coupon rate
#' @slot Group A numeric value the collateral group to which the
#' tranche belongs
#' @slot TrancheType A character the tranche type
#' @slot Schedule A logical indicating the bond payments are tied to
#' a schedule
#' @slot Fixed A logical indicating the bond coupon rate is fixed
#' @exportClass TrancheDetails
setClass("TrancheDetails",
representation(
DealName = "character",
TrancheNumber = "character",
NumberofComponents = "numeric",
ComponentofTranches = "character",
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = "numeric",
TrancheInterest = "character",
TrancheCoupon = "numeric",
AccrualRate = "numeric",
TreasuryMaturity = "numeric",
TreasuryYield = "numeric",
TreasurySpread = "numeric",
TrancheYield = "numeric",
TranchePrice = "numeric",
TrancheProceedsWithInterest = "numeric",
TrancheAvgLife = "numeric",
TrancheDuration = "numeric",
TrancheDatedDate = "character",
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = "numeric",
InterestPmtFrequency = "numeric",
PrinPmtFrequency = "numeric",
PacLowBand = "numeric",
PacHighBand = "numeric",
FloaterIndex = "character",
InitialIndexValue = "numeric",
FloaterMargin = "numeric",
FloaterMultiplier = "numeric",
FloaterCap = "numeric",
FloaterFloor = "numeric",
FloaterInitialCoupon = "numeric",
FloaterResetFrequency = "numeric",
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = "numeric",
TrancheType = "character",
Schedule = "logical",
Fixed = "logical"))
setGeneric("TrancheDetails",
function(DealName = "character",
TrancheNumber = "character",
NumberofComponents = "numeric",
ComponentofTranches = "character",
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = "numeric",
TrancheInterest = "character",
TrancheCoupon = "numeric",
AccrualRate = "numeric",
TreasuryMaturity = "numeric",
TreasuryYield = "numeric",
TreasurySpread = "numeric",
TrancheYield = "numeric",
TranchePrice = "numeric",
TrancheProceedsWithInterest = "numeric",
TrancheAvgLife = "numeric",
TrancheDuration = "numeric",
TrancheDatedDate = "character",
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = "numeric",
InterestPmtFrequency = "numeric",
PrinPmtFrequency = "numeric",
PacLowBand = "numeric",
PacHighBand = "numeric",
FloaterIndex = "character",
InitialIndexValue = "numeric",
FloaterMargin = "numeric",
FloaterMultiplier = "numeric",
FloaterCap = "numeric",
FloaterFloor = "numeric",
FloaterInitialCoupon = "numeric",
FloaterResetFrequency = "numeric",
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = "numeric",
TrancheType = "character",
Schedule = "logical",
Fixed = "logical"
)
{standardGeneric("TrancheDetails")})
# Note: generic function DealName is defined above
#' A generic function to access the slot TrancheNumber
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheNumber", function(object)
{standardGeneric("TrancheNumber")})
#' A generic function to access the slot NumberofComponents
#'
#' @param object an S4 class object
#' @export
setGeneric("NumberofComponents", function(object)
{standardGeneric("NumberofComponents")})
#' A generic function to access the slot ComponentofTranches
#'
#' @param object an S4 class object
#' @export
setGeneric("ComponentofTranches", function(object)
{standardGeneric("ComponentofTranches")})
#' A generic function to access the slot TrancheName
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheName", function(object)
{setGeneric("TrancheName")})
#' A generic function to access the slot TranchePrincipal
#'
#' @param object an S4 class object
#' @export
setGeneric("TranchePrincipal", function(object)
{standardGeneric("TranchePrincipal")})
#' A generic function to access the slot TranchePrincipalDesc
#'
#' @param object an S4 class object
#' @export
setGeneric("TranchePrincipalDesc", function(object)
{standardGeneric("TranchePrincipalDesc")})
#' A generic function to access the slot TrancheInterestDesc
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheInterestDesc", function(object)
{standardGeneric("TrancheInterestDesc")})
#' A generic function to access the slot TrancheOtherDescription
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheOtherDescription", function(object)
{standardGeneric("TrancheOtherDescription")})
# Note Cusip standardGeneric defined in PassThroughConstructor.R
#' A generic function to access the slot TrancheOrigBal
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheOrigBal", function(object)
{setGeneric("TrancheOrigBal")})
#' A generic function access the slot TrancheInterest
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheInterest", function(object)
{setGeneric("TrancheInterest")})
# Note: standard generic cusip is defined in PassThroughConstructor.R
#' A generic function to access the slot TrancheCoupon
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheCoupon", function(object)
{setGeneric("TrancheCoupon")})
#' A generic function to access the slot AccrualRate
#'
#' @param object an S4 class object
#' @export
setGeneric("AccrualRate", function(object)
{standardGeneric("AccrualRate")})
#' A generic function to access the slot TreasuryMaturity
#'
#' @param object an S4 class object
#' @export
setGeneric("TreasuryMaturity", function(object)
{setGeneric("TreasuryMaturity")})
#' A generic function to access the slot TreasuryYield
#'
#' @param object an S4 class object
#' @export
setGeneric("TreasuryYield", function(object)
{setGeneric("TreasuryYield")})
#' A generic function to access the slot TreasurySpread
#'
#' @param object an S4 class object
#' @export
setGeneric("TreasurySpread", function(object)
{standardGeneric("TreasurySpread")})
#' A generic function to access the slot TrancheYield
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheYield", function(object)
{standardGeneric("TrancheYield")})
#' A generic function to access the slot TranchePrice
#'
#' @param object an S4 class object
#' @export
setGeneric("TranchePrice", function(object)
{standardGeneric("TranchePrice")})
#' A generic function to access the slot TrancheProceedsWithInterest
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheProceedsWithInterest", function(object)
{setGeneric("TrancheProceedsWithInterest")})
#' A generic functionto access the slot TrancheAvgLife
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheAvgLife", function(object)
{standardGeneric("TrancheAvgLife")})
#' A generic function to access the slot TrancheDuration
#'
#' @param object an S4 class oject
#' @export
setGeneric("TrancheDuration", function(object)
{standardGeneric("TrancheDuration")})
#' A generic function to access the TrancheDatedDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheDatedDate", function(object)
{standardGeneric("TrancheDatedDate")})
#' A generic function to access the slot TrancheFirstPmtDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheFirstPmtDate", function(object)
{standardGeneric("TrancheFirstPmtDate")})
#' A generic function to access the slot TrancheLastPmtDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheLastPmtDate", function(object)
{standardGeneric("TrancheLastPmtDate")})
#' A generic function to access the slot TrancheNextPmtDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheNextPmtDate", function(object)
{standardGeneric("TrancheNextPmtDate")})
#' A generic function to access the slot TrancheFinalPmtDate
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheFinalPmtDate", function(object)
{standardGeneric("TrancheFinalPmtDate")})
#' A generic function to access the slot Delay
#'
#' @param object an S4 class object
#' @export
setGeneric("Delay", function(object)
{standardGeneric("Delay")})
#' A generic functon to access the slot InterestPmtFrequency
#'
#' @param object an S4 class object
#' @export
setGeneric("InterestPmtFrequency", function(object)
{standardGeneric("InterestPmtFrequency")})
#' A generic function to access the slot PrinPmtFrequency
#'
#' @param object an S4 class object
#' @export
setGeneric("PrinPmtFrequency", function(object)
{setGeneric("PrinPmtFrequency")})
#' A generic function to access the slot PacLowBand
#'
#' @param object an S4 class object
#' @export
setGeneric("PacLowBand", function(object)
{standardGeneric("PacLowBand")})
#' A generic function to access the slot PachHighBand
#'
#' @param object an S4 class object
#' @export
setGeneric("PacHighBand", function(object)
{standardGeneric("PacHighBand")})
#' A generic function to access the slot FloaterIndex
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterIndex", function(object)
{standardGeneric("FloaterIndex")})
#' A generic functon to access the slot InitialIndexValue
#'
#' @param object an S4 class object
#' @export
setGeneric("InitialIndexValue", function(object)
{standardGeneric("InitialIndexValue")})
#' A generic function to access the slot FloaterMargin
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterMargin", function(object)
{standardGeneric("FloaterMargin")})
#' A generic function to access the slot FloaterMultiplier
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterMultiplier", function(object)
{standardGeneric("FloaterMultiplier")})
#' A generic function to access the slot FloaterCap
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterCap", function(object)
{standardGeneric("FloaterCap")})
#' A generic function to access the slot FloaterFloor
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterFloor", function(object)
{standardGeneric("FloaterFloor")})
#' A generic function to access the slot FloaterInitialCoupon
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterInitialCoupon", function(object)
{standardGeneric("FloaterInitialCoupon")})
#' A generic function to access the slot FloaterResetFrequency
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterResetFrequency", function(object)
{standardGeneric("FloaterResetFrequency")})
#' A generic function to access the slot FloaterFirstResetDate
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterFirstResetDate", function(object)
{standardGeneric("FloaterFirstResetDate")})
#' A generic function to access the slot FloaterFormula
#'
#' @param object an S4 class object
#' @export
setGeneric("FloaterFormula", function(object)
{setGeneric("FloaterFormula")})
#' A generic function to access the slot Group
#'
#' @param object an S4 class object
#' @export
setGeneric("Group", function(object)
{standardGeneric("Group")})
#' A generic function to access the slot TrancheType
#'
#' @param object an S4 class object
#' @export
setGeneric("TrancheType", function(object)
{standardGeneric("TrancheType")})
#' A generic function to access the slot Schedule
#'
#' @param object an S4 class object
#' @export
setGeneric("Schedule", function(object)
{standardGeneric("Schedule")})
#' A generic function to access the slot Fixed
#'
#' @param object an S4 class object
#' @export
setGeneric("Fixed", function(object)
{standardGeneric("Fixed")})
# Initialize TrancheDetails
setMethod("initialize",
signature("TrancheDetails"),
function(.Object,...,
DealName = "character",
TrancheNumber = "character",
NumberofComponents = numeric(),
ComponentofTranches = "character",
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = numeric(),
TrancheInterest = "character",
TrancheCoupon = numeric(),
AccrualRate = numeric(),
TreasuryMaturity = numeric(),
TreasuryYield = numeric(),
TreasurySpread = numeric(),
TrancheYield = numeric(),
TranchePrice = numeric(),
TrancheProceedsWithInterest = numeric(),
TrancheAvgLife = numeric(),
TrancheDuration = numeric(),
TrancheDatedDate = numeric(),
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = numeric(),
InterestPmtFrequency = numeric(),
PrinPmtFrequency = numeric(),
PacLowBand = numeric(),
PacHighBand = numeric(),
FloaterIndex = "character",
InitialIndexValue = numeric(),
FloaterMargin = numeric(),
FloaterMultiplier = numeric(),
FloaterCap = numeric(),
FloaterFloor = numeric(),
FloaterInitialCoupon = numeric(),
FloaterResetFrequency = numeric(),
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = numeric(),
TrancheType = "character",
Schedule = "logical",
Fixed = "logical"
){
callNextMethod(.Object,
DealName = DealName,
TrancheNumber = TrancheNumber,
NumberofComponents = NumberofComponents,
ComponentofTranches = ComponentofTranches,
TrancheName = TrancheName,
TranchePrincipal = TranchePrincipal,
TranchePrincipalDesc = TranchePrincipalDesc,
TrancheInterestDesc = TrancheInterestDesc,
TrancheOtherDescription = TrancheOtherDescription,
Cusip = Cusip,
TrancheOrigBal = TrancheOrigBal,
TrancheInterest = TrancheInterest,
TrancheCoupon = TrancheCoupon,
AccrualRate = AccrualRate,
TreasuryMaturity = TreasuryMaturity,
TreasuryYield = TreasuryYield,
TreasurySpread = TreasurySpread,
TrancheYield = TreasuryYield,
TranchePrice = TranchePrice,
TrancheProceedsWithInterest = TrancheProceedsWithInterest,
TrancheAvgLife = TrancheAvgLife,
TrancheDuration = TrancheDuration,
TrancheDatedDate = TrancheDatedDate,
TrancheFirstPmtDate = TrancheFirstPmtDate,
TrancheLastPmtDate = TrancheLastPmtDate,
TrancheNextPmtDate = TrancheNextPmtDate,
TrancheFinalPmtDate = TrancheFinalPmtDate,
Delay = Delay,
InterestPmtFrequency = InterestPmtFrequency,
PrinPmtFrequency = PrinPmtFrequency,
PacLowBand = PacLowBand,
PacHighBand = PacHighBand,
FloaterIndex = FloaterIndex,
InitialIndexValue = InitialIndexValue,
FloaterMargin = FloaterMargin,
FloaterMultiplier = FloaterMultiplier,
FloaterCap = FloaterCap,
FloaterFloor = FloaterFloor,
FloaterInitialCoupon = FloaterInitialCoupon,
FloaterResetFrequency = FloaterResetFrequency,
FloaterFirstResetDate = FloaterFirstResetDate,
FloaterFormula = FloaterFormula,
Group = Group,
TrancheType = TrancheType,
Schedule = Schedule,
Fixed = Fixed)
})
#' A method to access the slot DealName from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod DealName
setMethod("DealName", signature("TrancheDetails"),
function(object){
object@DealName
})
#' A method to access the slot TrancheNumber from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheNumber
setMethod("TrancheNumber", signature("TrancheDetails"),
function(object){
object@TrancheDetails
})
#' A method to access the slot NumberofComponents from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod NumberofComponents
setMethod("NumberofComponents", signature("TrancheDetails"),
function(object){
object@NumberofComponents
})
#' A method to access the slot ComponentofTranches from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod ComponentofTranches
setMethod("ComponentofTranches", signature("TrancheDetails"),
function(object){
object@ComponentofTranches
})
#' A method to access the slot TrancheName from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod TrancheName
setMethod("TrancheName", signature("TrancheDetails"),
function(object){
object@TrancheName
})
#' A method to access the slot TranchePrincipal from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod TranchePrincipal
setMethod("TranchePrincipal", signature("TrancheDetails"),
function(object){
object@TranchePrincipal
})
#' A method to access the slot TranchePrincipalDesc from class TrancheDetails
#'
#' @param object an S4 object of the type TranchePrincipalDesc
#' @exportMethod TranchePrincipalDesc
setMethod("TranchePrincipalDesc", signature("TrancheDetails"),
function(object){
object@TranchePrincipalDesc
})
#' A method to access the slot TrancheInterestDesc from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheInterestDesc
#' @exportMethod TrancheInterestDesc
setMethod("TrancheInterestDesc", signature("TrancheDetails"),
function(object){
object@TrancheInterestDesc
})
#' A method to access the slot TrancheOtherDescription from
#' class TrancheDetails
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod TrancheOtherDescription
setMethod("TrancheOtherDescription", signature("TrancheDetails"),
function(object){
object@TrancheOtherDescription
})
#' A method to access the slot Cusip from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Cusip
setMethod("Cusip", signature("TrancheDetails"),
function(object){
object@Cusip
})
#' A method to access the slot TrancheOrigBal from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheOrigBal
setMethod("TrancheOrigBal", signature("TrancheDetails"),
function(object){
object@TrancheOrigBal
})
#' A method to access the slot TrancheInterest from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod TrancheInterest
setMethod("TrancheInterest", signature("TrancheDetails"),
function(object){
object@TrancheInterest
})
#' A method to access the slot TrancheCoupon from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheCoupon
setMethod("TrancheCoupon", signature("TrancheDetails"),
function(object){
object@TrancheCoupon
})
#' A method to access the slot AccrualRate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod AccrualRate
setMethod("AccrualRate", signature("TrancheDetails"),
function(object){
object@AccrualRate
})
#' A method to access the slot TreasuryMaturity from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TreasuryMaturity
setMethod("TreasuryMaturity", signature("TrancheDetails"),
function(object){
object@TreasuryMaturity
})
#' A method to access the slot TreasuryYield from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TreasuryYield
setMethod("TreasuryYield", signature("TrancheDetails"),
function(object){
object@TreasuryYield
})
#' A method to access the slot TreasurySpread from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TreasurySpread
setMethod("TreasurySpread", signature("TrancheDetails"),
function(object){
object@TreasurySpread
})
#' A method to access the slot TrancheYield from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheYield
setMethod("TrancheYield", signature("TrancheDetails"),
function(object){
object@TrancheYield
})
#' A method to access the slot TranchePrice from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TranchePrice
setMethod("TranchePrice", signature("TrancheDetails"),
function(object){
object@TranchePrice
})
#' A method to access the slot TrancheProceedsWithInterest from
#' class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheProceedsWithInterest
setMethod("TrancheProceedsWithInterest", signature("TrancheDetails"),
function(object){
object@TrancheProceedsWithInterest
})
#' A method to access the slot TrancheAvgLife from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheAvgLife
setMethod("TrancheAvgLife", signature("TrancheDetails"),
function(object){
object@TrancheAvgLife
})
#' A method to access the slot TrancheDuration from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheDuration
setMethod("TrancheDuration", signature("TrancheDetails"),
function(object){
object@TrancheDuration
})
#' A method to access the slot TrancheDatedDate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheDatedDate
setMethod("TrancheDatedDate", signature("TrancheDetails"),
function(object){
object@TrancheDatedDate
})
#' A method to access the slot TrancheFirstPmtDate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheFirstPmtDate
setMethod("TrancheFirstPmtDate", signature("TrancheDetails"),
function(object){
object@TrancheDatedDate
})
#' A method to access the slot TrancheLastPmtDate from class TrancheDetails
#'
#' @param object an S4 clss of type TrancheDetails
#' @exportMethod TrancheLastPmtDate
setMethod("TrancheLastPmtDate", signature("TrancheDetails"),
function(object){
object@TrancheLastPmtDate
})
#' A method to access the slot TrancheNextPmtDate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheNextPmtDate
setMethod("TrancheNextPmtDate", signature("TrancheDetails"),
function(object){
object@TrancheNextPmtDate
})
#' A method to access the slot TrancheFinalPmtDate from class TrancheDetails
#'
#' @param object an S4 class of type TrancheDetails
#' @exportMethod TrancheFinalPmtDate
setMethod("TrancheFinalPmtDate", signature("TrancheDetails"),
function(object){
object@TrancheFinalPmtDate
})
#' A method to access the slot Delay from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Delay
setMethod("Delay", signature("TrancheDetails"),
function(object){
object@Delay
})
#' A method to access the slot InterestPmtFrequency from class TrancheDetails
#'
#' @param object an S4 object of the type InterestPmtFrequency
#' @exportMethod InterestPmtFrequency
setMethod("InterestPmtFrequency", signature("TrancheDetails"),
function(object){
object@InterestPmtFrequency
})
#' A method to access the slot PrinPmtFrequency from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod PrinPmtFrequency
setMethod("PrinPmtFrequency", signature("TrancheDetails"),
function(object){
object@PrinPmtFrequency
})
#' A method to access the slot PacLowBand from class TrancheDetails
#'
#' @param object an S4 object of type TrancheDetails
#' @exportMethod PacLowBand
setMethod("PacLowBand", signature("TrancheDetails"),
function(object){
object@PacLowBand
})
#'A method to access the slot PacHighBand from class TrancheDetails
#'
#'@param object an S4 object of the type TrancheDetails
#'@exportMethod PacHighBand
setMethod("PacHighBand", signature("TrancheDetails"),
function(object){
object@PacHighBand
})
#' A method to access the slot FloaterIndex from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterIndex
setMethod("FloaterIndex", signature("TrancheDetails"),
function(object){
object@FloaterIndex
})
#' A method to access the slot InitialIndexValue from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod InitialIndexValue
setMethod("InitialIndexValue", signature("TrancheDetails"),
function(object){
object@InitialIndexValue
})
#' A method to access the slot FloaterMargin from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterMargin
setMethod("FloaterMargin", signature("TrancheDetails"),
function(object){
object@FloaterMargin
})
#' A method to access the slot FloaterMultiplier from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterMultiplier
setMethod("FloaterMultiplier", signature("TrancheDetails"),
function(object){
object@FloaterMultiplier
})
#' A method to access the slot FloaterCap from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterCap
setMethod("FloaterCap", signature("TrancheDetails"),
function(object){
object@FloaterCap
})
#' A method to access the slot FloaterFloor from the class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterFloor
setMethod("FloaterFloor", signature("TrancheDetails"),
function(object){
object@FloaterFloor
})
#' A method to access the slot FloaterInitialCoupon from the
#' class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterInitialCoupon
setMethod("FloaterInitialCoupon", signature("TrancheDetails"),
function(object){
object@FloaterInitialCoupon
})
#' A method to access the slot FloaterResetFrequency from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterResetFrequency
setMethod("FloaterResetFrequency", signature("TrancheDetails"),
function(object){
object@FloaterResetFrequency
})
#' A method to access the slot FloaterFirstResetDate from class TrancheDetails
#'
#' @param object an S4 object o the type TrancheDetails
#' @exportMethod FloaterFirstResetDate
setMethod("FloaterFirstResetDate",signature("TrancheDetails"),
function(object){
object@FloaterFirstResetDate
})
#' A method to access the slot FloaterFormula from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod FloaterFormula
setMethod("FloaterFormula", signature("TrancheDetails"),
function(object){
object@FloaterFormula
})
#' A method to access the slot Group from class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Group
setMethod("Group", signature("TrancheDetails"),
function(object){
object@Group
})
#' A method to access the slot TrancheType from class TrancheDetails
#'
#' @param object an S4 object of the typre TrancheDetails
#' @exportMethod TrancheType
setMethod("TrancheType", signature("TrancheDetails"),
function(object){
object@TrancheType
})
#' A method to access the slot Schedule from the class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Schedule
setMethod("Schedule", signature("TrancheDetails"),
function(object){
object@Schedule
})
#' A method to access the slot Fixed from the class TrancheDetails
#'
#' @param object an S4 object of the type TrancheDetails
#' @exportMethod Fixed
setMethod("Fixed", signature("TrancheDetails"),
function(object){
object@Fixed
})
# Tranche Details is a constructor function used by MakeTranche which is a
# constructor function is exposed to the user
TrancheDetails <- function(DealName = "character",
TrancheNumber = "character",
NumberofComponents = numeric(),
ComponentofTranches = "character",
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = numeric(),
TrancheInterest = "character",
TrancheCoupon = numeric(),
AccrualRate = numeric(),
TreasuryMaturity = numeric(),
TreasuryYield = numeric(),
TreasurySpread = numeric(),
TrancheYield = numeric(),
TranchePrice = numeric(),
TrancheProceedsWithInterest = numeric(),
TrancheAvgLife = numeric(),
TrancheDuration = numeric(),
TrancheDatedDate = numeric(),
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = numeric(),
InterestPmtFrequency = numeric(),
PrinPmtFrequency = numeric(),
PacLowBand = numeric(),
PacHighBand = numeric(),
FloaterIndex = "character",
InitialIndexValue = numeric(),
FloaterMargin = numeric(),
FloaterMultiplier = numeric(),
FloaterCap = numeric(),
FloaterFloor = numeric(),
FloaterInitialCoupon = numeric(),
FloaterResetFrequency = numeric(),
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = numeric(),
TrancheType = "character",
Schedule = "logical",
Fixed = "logical"){
new("TrancheDetails",
DealName = DealName,
TrancheNumber = TrancheNumber,
NumberofComponents = NumberofComponents,
ComponentofTranches = ComponentofTranches,
TrancheName = TrancheName,
TranchePrincipal = TranchePrincipal,
TranchePrincipalDesc = TranchePrincipalDesc,
TrancheInterestDesc = TrancheInterestDesc,
TrancheOtherDescription = TrancheOtherDescription,
Cusip = Cusip,
TrancheOrigBal = TrancheOrigBal,
TrancheInterest = TrancheInterest,
TrancheCoupon = TrancheCoupon,
AccrualRate = AccrualRate,
TreasuryMaturity = TreasuryMaturity,
TreasuryYield = TreasuryYield,
TreasurySpread = TreasurySpread,
TrancheYield = TreasuryYield,
TranchePrice = TranchePrice,
TrancheProceedsWithInterest = TrancheProceedsWithInterest,
TrancheAvgLife = TrancheAvgLife,
TrancheDuration = TrancheDuration,
TrancheDatedDate = TrancheDatedDate,
TrancheFirstPmtDate = TrancheFirstPmtDate,
TrancheLastPmtDate = TrancheLastPmtDate,
TrancheNextPmtDate = TrancheNextPmtDate,
TrancheFinalPmtDate = TrancheFinalPmtDate,
Delay = Delay,
InterestPmtFrequency = InterestPmtFrequency,
PrinPmtFrequency = PrinPmtFrequency,
PacLowBand = PacLowBand,
PacHighBand = PacHighBand,
FloaterIndex = FloaterIndex,
InitialIndexValue = InitialIndexValue,
FloaterMargin = FloaterMargin,
FloaterMultiplier = FloaterMultiplier,
FloaterCap = FloaterCap,
FloaterFloor = FloaterFloor,
FloaterInitialCoupon = FloaterInitialCoupon,
FloaterResetFrequency = FloaterResetFrequency,
FloaterFirstResetDate = FloaterFirstResetDate,
FloaterFormula = FloaterFormula,
Group = Group,
TrancheType = TrancheType,
Schedule = Schedule,
Fixed = Fixed)
}
# MakeTranche is a function which calls the function TrancheDetails
# serialize the object TrancheDetails to the tranches directory
# note in the help file MakeTranche is refered to as constructor since
# the actual constructor TrancheDetails is not exposed to the user
#' A constructor function for REMIC tranche detail
#'
#' MakeTranche a constructor function used to create a REMIC tranche
#' @param DealName A character string the deal name
#' @param TrancheNumber A character string the Tranche Number
#' @param NumberofComponents A numeric value the number of components
#' @param ComponentofTranches A string identifying component tranches
#' @param TrancheName A character string the the Tranche Name
#' @param TranchePrincipal A character string the principal type
#' (pass-through, notional)
#' @param TranchePrincipalDesc A character string the REMIC principal
#' type (sequential, IO, PAC, etc.)
#' @param TrancheInterestDesc A character string the REMIC interest type
#' (Fixed, Floating, Variable)
#' @param TrancheOtherDescription A character string the other REMIC
#' descriptive information
#' @param Cusip A character string the tranche cusip
#' @param TrancheOrigBal A character numeric value the original balance
#' @param TrancheInterest A character string the Tranche Interest Type
#' @param TrancheCoupon A numeric value the tranche coupon
#' @param AccrualRate A numeric value the accrual rate on the bond
#' @param TreasuryMaturity A numeric value the maturity of the pricing
#' benchmark (Treasury or Swap)
#' @param TreasuryYield A numeric value the yield of the pricing
#' benchmark (Treasury or Swap)
#' @param TreasurySpread A numeric value the spread over the pricing
#' bechmark (Treasury or Swap)
#' @param TrancheYield A numeric value the new issue pricing yield to maturity
#' @param TranchePrice A numeric value the new issue price
#' @param TrancheProceedsWithInterest A numeric value the new issue proceeds
#' @param TrancheAvgLife A numeric value the average life at pricing
#' @param TrancheDuration A numeric value the duration (modified) at pricing
#' @param TrancheDatedDate A character value the tranche dated date
#' @param TrancheFirstPmtDate A character value the tranche first payment date
#' @param TrancheLastPmtDate A character value the tranche last payment date
#' @param TrancheNextPmtDate A character value the tranche next payment date
#' @param TrancheFinalPmtDate A character value the tranche final payment date
#' @param Delay A numeric value the delay days
#' @param InterestPmtFrequency A numeric value the interest payment frequency
#' @param PrinPmtFrequency A numeric value the principal payment frequency
#' @param PacLowBand A numeric value the PAC Lower Band
#' @param PacHighBand A numeric value the PAC Upper Band
#' @param FloaterIndex A character value the floater index name
#' @param InitialIndexValue A numeric value the value of the floater's
#' reference index at issuance
#' @param FloaterMargin A numeric value the floater margin
#' @param FloaterMultiplier A numeric value the floater multiplier
#' @param FloaterCap A numeric value the floater cap
#' @param FloaterFloor A numeric value the floater floor
#' @param FloaterInitialCoupon A numeric value the floater's new issue coupon
#' @param FloaterResetFrequency A numeric value the reset frequency
#' (12 is monthly)
#' @param FloaterFirstResetDate A character string the first reset
#' date following issuance
#' @param FloaterFormula A function the floater coupon formula
#' @param Group A numeric value the collateral group number
#' @param TrancheType A character value the type of tranche
#' (standard, exchangeable)
#' @param Schedule A logical indicating the PAC/TAC schedule
#' @param Fixed A logical indicating Fixed (TRUE) or Floating (FALSE)
#' coupon
#' @examples
#' \dontrun{Need Example}
#'@export
MakeTranche <- function(DealName = "character",
TrancheNumber = "character",
NumberofComponents = numeric(),
ComponentofTranches = numeric(),
TrancheName = "character",
TranchePrincipal = "character",
TranchePrincipalDesc = "character",
TrancheInterestDesc = "character",
TrancheOtherDescription = "character",
Cusip = "character",
TrancheOrigBal = numeric(),
TrancheInterest = "character",
TrancheCoupon = numeric(),
AccrualRate = numeric(),
TreasuryMaturity = numeric(),
TreasuryYield = numeric(),
TreasurySpread = numeric(),
TrancheYield = numeric(),
TranchePrice = numeric(),
TrancheProceedsWithInterest = numeric(),
TrancheAvgLife = numeric(),
TrancheDuration = numeric(),
TrancheDatedDate = numeric(),
TrancheFirstPmtDate = "character",
TrancheLastPmtDate = "character",
TrancheNextPmtDate = "character",
TrancheFinalPmtDate = "character",
Delay = numeric(),
InterestPmtFrequency = numeric(),
PrinPmtFrequency = numeric(),
PacLowBand = numeric(),
PacHighBand = numeric(),
FloaterIndex = "character",
InitialIndexValue = numeric(),
FloaterMargin = numeric(),
FloaterMultiplier = numeric(),
FloaterCap = numeric(),
FloaterFloor = numeric(),
FloaterInitialCoupon = numeric(),
FloaterResetFrequency = numeric(),
FloaterFirstResetDate = "character",
FloaterFormula = "function",
Group = numeric(),
TrancheType = "character",
Schedule = "logical",
Fixed = "logical") {
temp <- TrancheDetails(
DealName = DealName,
TrancheNumber = TrancheNumber,
NumberofComponents = NumberofComponents,
ComponentofTranches = ComponentofTranches,
TrancheName = TrancheName,
TranchePrincipal = TranchePrincipal,
TranchePrincipalDesc = TranchePrincipalDesc,
TrancheInterestDesc = TrancheInterestDesc,
TrancheOtherDescription = TrancheOtherDescription,
Cusip = Cusip,
TrancheOrigBal = TrancheOrigBal,
TrancheInterest = TrancheInterest,
TrancheCoupon = TrancheCoupon,
AccrualRate = AccrualRate,
TreasuryMaturity = TreasuryMaturity,
TreasuryYield = TreasuryYield,
TreasurySpread = TreasurySpread,
TrancheYield = TreasuryYield,
TranchePrice = TranchePrice,
TrancheProceedsWithInterest = TrancheProceedsWithInterest,
TrancheAvgLife = TrancheAvgLife,
TrancheDuration = TrancheDuration,
TrancheDatedDate = TrancheDatedDate,
TrancheFirstPmtDate = TrancheFirstPmtDate,
TrancheLastPmtDate = TrancheLastPmtDate,
TrancheNextPmtDate = TrancheNextPmtDate,
TrancheFinalPmtDate = TrancheFinalPmtDate,
Delay = Delay,
InterestPmtFrequency = InterestPmtFrequency,
PrinPmtFrequency = PrinPmtFrequency,
PacLowBand = PacLowBand,
PacHighBand = PacHighBand,
FloaterIndex = FloaterIndex,
InitialIndexValue = InitialIndexValue,
FloaterMargin = FloaterMargin,
FloaterMultiplier = FloaterMultiplier,
FloaterCap = FloaterCap,
FloaterFloor = FloaterFloor,
FloaterInitialCoupon = FloaterInitialCoupon,
FloaterResetFrequency = FloaterResetFrequency,
FloaterFirstResetDate = FloaterFirstResetDate,
FloaterFormula = FloaterFormula,
Group = Group,
TrancheType = TrancheType,
Schedule = Schedule,
Fixed = Fixed)
SaveTranche(DealName = DealName,
TrancheNumber = TrancheNumber,
TrancheFile = temp)}
# Tranches is a class holding a list of the TrancheDetails. This could also
# be a JSON file of list of pairwise data
#' A S4 class Tranches for the REMIC
#'
#' Tranches is a list of the tranche details of each tranche collateralized
#' @slot Tranches a list of TrancheDetail classes
#' @exportClass Tranches
setClass("Tranches",
representation(
Tranches = "list"))
setGeneric("Tranches", function(Tranches = list())
{standardGeneric("Tranches")})
#' A generic function to access the slot Tranches
#'
#' @param object an S4 class object
#' @export
setGeneric("GetTrancheNumber", function(object)
{standardGeneric("GetTrancheNumber")})
# Initialize Tranches class object for Tranches
setMethod("initialize",
signature("Tranches"),
function(.Object,...,
Tranches = list()
){
callNextMethod(.Object,
Tranches = Tranches)
})
#' A method to access the Tranches from class Tranches
#'
#' @param object an S4 class object of type Tranches
#' @exportMethod GetTrancheNumber
setMethod("GetTrancheNumber", signature("Tranches"),
function(object){
object@Tranches
})
# TranchesList assembles the tranches for REMIC structure and is called by
# REMIC constructor function
# The function assembles multiple tranches associated with a deal
# building the tranche classes into a list
#' Aggregator Function for REMIC constructor
#'
#' Aggregates Tranche data for REMIC constructor assembling multiple tranches
#' associated with a collateral group or deal
#' @param NumberofTranches A numeric value the number of tranches in the deal
#' @param DealName A character string the Deal Name
#' @export
TranchesList <- function(NumberofTranches = numeric(),
DealName = "character"){
TrancheList <- list()
for(i in 1: NumberofTranches){
Tranches <- SaveTranches(DealName = DealName,
TrancheNumber = as.character(i))
TrancheList <- append(TrancheList, Tranches)}
new("Tranches",
Tranches = TrancheList)}
# Collateral class holds collateral data for each collateral group
# The collateral class holds pools cusip list and original balance
# this could be a pairwise JSON file
#' A S4 class of the REMIC collateral
#'
#' Collateral class holds collateral details for the collateral group
#' @slot Group a numeric value the collateral group number
#' @slot Cusip a list of the pool cusip(s) in the collateral group
#' @slot OrigBal a list of the Original Balance of each cusip in the
#' collateral group
#' @exportClass Collateral
setClass("Collateral",
representation(
Group = "character",
Cusip = "list",
OrigBal = "list"))
setGeneric("Collateral", function(object)
{standardGeneric("Collateral")})
# Note: standard generic Group is defined above with TrancheDetails
#' A generic function to access a cusip list slot
#'
#' @param object an S4 class object
#' @export
setGeneric("CusipList", function(object)
{standardGeneric("CusipList")})
#' A generic function to access a OrigBal list slot
#'
#' @param object an S4 class object
#' @export
setGeneric("OrigBalList", function(object)
{standardGeneric("OrigBalList")})
# Initialize collateral
setMethod("initialize",
signature ("Collateral"),
function (.Object,...,
Group = "character",
Cusip = list(),
OrigBal = list()
){callNextMethod(.Object,
Group = Group,
Cusip = Cusip,
OrigBal = OrigBal)
})
#' A method to access the GroupNumber from S4 class Collateral
#'
#' @param object An S4 class object of the type Collateral
#' @exportMethod Group
setMethod("Group", signature("Collateral"),
function(object){
object@Group
})
#' A method ot access the cusip list from S4 class Collateral
#'
#' @param object An S4 class object of the type Collateral
#' @exportMethod CusipList
setMethod("CusipList", signature("Collateral"),
function(object){
object@Cusip
})
#' A method to access the original bal list from S4 class Collateral
#'
#' @param object An S4 class object of the type Collaeral
#' @exportMethod OrigBalList
setMethod("OrigBalList", signature("Collateral"),
function(object){
object@OrigBal
})
# Collateral Group Class is an aggregator of the collateral class
# This class assembles multiple collateral groups into a list of
# collateral groups building the collateral groups for the entire
# deal structure
#' An S4 class the groups underlying the REMIC
#'
#' CollateralGroup is an aggregator of the collatreal group class number
#' @slot Group a list of the collateral groups
#' @exportClass CollateralGroup
setClass("CollateralGroup",
representation(
Group = "list"))
setGeneric("CollateralGroup", function(object)
{standardGeneric("CollateralGroup")})
#' A standard generic function to access the CollateralGroup list
#'
#' @param object an list of S4 objects
#' @export
setGeneric("CollateralGroups", function(object)
{standardGeneric("CollateralGroups")})
# Schedule is the projected schedule for a PAC/TAC Schedule
# the scheduled balance are used to compute PAC/TAC Schedule
# and companion bond payments
#' An S4 class REMIC PAC/TAC schedules and payments
#'
#' Schedule class holds the PAC/TAC schedule payments
#' @slot DealName the name of the deal
#' @slot Group the group number
#' @slot PmtDate the payment date
#' @slot Balance the scheduled balance of the PAC/TAC
#' @slot ScheduledPmt the scheduled payment to the PAC/TAC bond
#' @exportClass Schedule
setClass("Schedule",
representation(
DealName = "character",
Group = "numeric",
PmtDate = "character",
Balance = "numeric",
ScheduledPmt = "numeric"))
# This class is the REMIC factor files and belongs to tranche information
# REMIC Disclosure Month End (RDME) Class stores the tranch factor data and
# is part of the assembly of the REMIC
setClass("RDME",
representation(
Cusip = "character",
PaymentDate = "list",
Coupon = "list",
Factor = "list"))
# The TrancheFactors class is an aggregator class
# The class aggregates the RDME classes for each associated trance
setClass("TrancheFactors",
representation(
FactorData = "list"))
# Superclass REMIC structure constructor for REMIC which will be called
# by the waterfall
setClass("REMICStructure",
representation(),
contains = c("RAID",
"Tranches",
"CollateralGroup",
"TrancheFactors"))
# Initialize collateralgroup
setMethod("initialize",
signature("CollateralGroup"),
function (.Object,
Group = list())
{
.Object@Group = Group
return(.Object)
})
# Initialize Schedule
setMethod("initialize",
signature("Schedule"),
function (.Object,
DealName = "character",
Group = numeric(),
PmtDate = "character",
Balance = numeric(),
ScheduledPmt = numeric()){
.Object@DealName = DealName
.Object@Group = Group
.Object@PmtDate = PmtDate
.Object@Balance = Balance
.Object@ScheduledPmt = ScheduledPmt
return(.Object)
})
#Initialize RDME
setMethod("initialize",
signature("RDME"),
function(.Object,
Cusip = "character",
PaymentDate = "list",
Coupon = "list",
Factor = "list")
{
.Object@Cusip = Cusip
.Object@PaymentDate = PaymentDate
.Object@Coupon = Coupon
.Object@Factor = Factor
return(.Object)
})
# Intitialize factors
setMethod("initialize",
signature("TrancheFactors"),
function(.Object,
FactorData = list())
{
.Object@FactorData = FactorData
return(.Object)
})
# initialize REMIC structure superclass
setMethod("initialize",
signature("REMICStructure"),
function(.Object,
DealName = "character",
Issuer = "character",
DealNumber = "character",
DealPriceDate = "character",
DealSettlementDate = "character",
Underwriter = "character",
Trustee = "character",
PricingSpeed = "numeric",
JumpReferenceSpeed1 = "numeric",
JumpReferenceSpeed2 = "numeric",
JumpReferenceSpeed3 = "numeric",
JumpReferenceSpeed4 = "numeric",
NumberofTranches = "numeric",
NumberofComponentTranches = "numeric",
NumberofCombinedTranches = "numeric",
NumberofPools = "numeric",
PacSchedulesIncluded = "logical",
NumberofPacSchedules = numeric(),
NumberofGroups = numeric(),
DealSize = numeric(),
CollateralAmount = numeric(),
BondValue = "numeric",
BondValueMethod = "character",
BondValueCap = "numeric",
BondValueDiscountRate = "numeric",
BondValueReinvestmentRate = "numeric",
ExpenseBasisPointFee = "numeric",
ExpenseFixed = "numeric",
ExpensePeriodicity = "numeric",
InitialReserveFund = "numeric",
Tranches = "character",
CollateralGroup = "character",
TrancheFactors ="character")
{
.Object@DealName = DealName
.Object@Issuer = Issuer
.Object@DealNumber = DealNumber
.Object@DealPriceDate = DealPriceDate
.Object@DealSettlementDate = DealSettlementDate
.Object@Underwriter = Underwriter
.Object@Trustee = Trustee
.Object@PricingSpeed = PricingSpeed
.Object@JumpReferenceSpeed1 = JumpReferenceSpeed1
.Object@JumpReferenceSpeed2 = JumpReferenceSpeed2
.Object@JumpReferenceSpeed3 = JumpReferenceSpeed3
.Object@JumpReferenceSpeed4 = JumpReferenceSpeed4
.Object@NumberofTranches = NumberofTranches
.Object@NumberofComponentTranches = NumberofComponentTranches
.Object@NumberofCombinedTranches = NumberofCombinedTranches
.Object@NumberofPools = NumberofPools
.Object@PacSchedulesIncluded = PacSchedulesIncluded
.Object@NumberofPacSchedules = NumberofPacSchedules
.Object@NumberofGroups = NumberofGroups
.Object@DealSize = DealSize
.Object@CollateralAmount = CollateralAmount
.Object@BondValue = BondValue
.Object@BondValueMethod = BondValueMethod
.Object@BondValueCap = BondValueCap
.Object@BondValueDiscountRate = BondValueDiscountRate
.Object@BondValueReinvestmentRate = BondValueReinvestmentRate
.Object@ExpenseBasisPointFee = ExpenseBasisPointFee
.Object@ExpenseFixed = ExpenseFixed
.Object@ExpensePeriodicity = ExpensePeriodicity
.Object@InitialReserveFund = InitialReserveFund
.Object@Tranches = Tranches
.Object@Group = CollateralGroup
.Object@FactorData = TrancheFactors
return(.Object)
})
#=====================================================================================
#The following are Tranches functions for the REMIC constructor
#=====================================================================================
# ----------------------------------------------------------------------
#REMIC Schedules PAC and TAC schedules for REMIC
#This function is called by MakeSchedules
#It has no connection strings this functions constructs the PAC REMIC
#Class with call to new
#' @importFrom lubridate %m+%
BondSchedule <- function(bond.id = "character",
DealName = "character",
Group = "character",
original.bal = numeric(),
trade.date = "character",
settlement.date = "character",
first.pmtdate = "character",
price = numeric(),
begin.cpr = numeric(),
end.cpr = numeric(),
seasoning.period = numeric(),
lower.PSA = numeric(),
upper.PSA = numeric()){
if(missing(lower.PSA)) stop ("Missing Lower PSA")
if(missing(upper.PSA)) stop ("Missing Upper PSA")
if(lower.PSA < 10) stop ("Lower PSA must be in Percentage")
if(upper.PSA < 10) stop ("Upper PSA must be in Percentage")
# ---- connect to the bond data folder
bond.id <- MBS(MBS.id = bond.id)
# ---- connect to rates data folder
rates.data <- Rates(trade.date = trade.date)
# --- connect to mortgage rate model
MortgageRate <- MtgRate()
# --- connect to the prepayment model
ModelTune <- ModelTune(bond.id = bond.id)
TermStructure <- TermStructure(rates.data = rates.data,
method = "ns")
Burnout <- bond.id@Burnout
PSA.Band <- c(lower.PSA/100, upper.PSA/100)
Principal <- list()
for(i in 1 : 2){
begin.cpr <- begin.cpr * PSA.Band[i]
end.cpr <- end.cpr * PSA.Band[i]
PrepaymentAssumption <- PrepaymentAssumption(
bond.id = bond.id,
MortgageRate = MortgageRate,
TermStructure = TermStructure,
PrepaymentAssumption = "PPC",
ModelTune = ModelTune,
Burnout = Burnout,
begin.cpr = begin.cpr,
end.cpr = end.cpr,
seasoning.period = seasoning.period
)
MortgageCashFlow <- MortgageCashFlow(
bond.id = bond.id,
original.bal = original.bal,
settlement.date = settlement.date,
price = price,
PrepaymentAssumption = PrepaymentAssumption)
Principal[[i]] <-MortgageCashFlow@ScheduledPrin +
MortgageCashFlow@PrepaidPrin
}
Matrix <- do.call(cbind,Principal)
colnames(Matrix) <- c(paste(lower.PSA, "PSA", sep = ""),
paste(upper.PSA, "PSA", sep = "") )
PACSched <- apply(Matrix, 1, min)
PACBal <- sum(PACSched)
PmtDate <- as.Date(first.pmtdate, "%m-%d-%Y") %m+% months(0:360)
new("Schedule",
DealName = DealName,
Group = Group,
PmtDate = as.character(PmtDate),
Balance = as.numeric(unname(PACBal - cumsum(PACSched))),
ScheduledPmt = as.numeric(unname(PACSched)))
}
# ---------- function to create and save the PAC schedule class ------------
#' A constructor function to create the PAC Bond Sinking Fund Schedule file
#'
#' Function to create a PAC bond sinking fund schedule file
#' @param bond.id A character string the cusip or id
#' @param DealName A character string the transaction deal name
#' @param Group A character string the tranche's collateral group
#' @param original.bal A numeric value the collateral group original balance
#' @param trade.date A character string the trade date
#' @param settlement.date A character string the settlement date
#' @param first.pmtdate A character string the bond first payment date
#' @param price A numeric value the price of the underlying collateral
#' @param begin.cpr A numeric value the beginning value of the PPC assumption
#' @param end.cpr A numeric value the ending value of the PPC assumption
#' @param seasoning.period A numeric value the length of the PPC ramp
#' @param lower.PSA A numeric value the lower PSA band
#' @param upper.PSA A numeric value the upper PSA band
#' @examples
#' \dontrun{MakeSchedule(bond.id = "BondLabMBS4",DealName = "BondLabPAC01",
#' Group = 1, original.bal = 200000000,first.pmtdate = "01-25-2013",
#' trade.date = "01-10-2013", settlement.date = "01-13-2013",
#' price = 105.75,begin.cpr = .2,end.cpr = 6,
#' seasoning.period = 30,lower.PSA = 75, upper.PSA = 250)}
#' @export
MakeSchedule <- function(bond.id = "character",
DealName = "character",
Group = "character",
original.bal = numeric(),
trade.date = "character",
settlement.date = "character",
first.pmtdate = "character",
price = numeric(),
begin.cpr = numeric(),
end.cpr = numeric(),
seasoning.period = numeric(),
lower.PSA = numeric(),
upper.PSA = numeric()){
temp <- BondSchedule(bond.id = bond.id,
DealName = DealName,
Group = Group,
original.bal = original.bal,
trade.date = trade.date,
settlement.date = settlement.date,
first.pmtdate = first.pmtdate,
price = price,
begin.cpr = begin.cpr,
end.cpr = end.cpr,
seasoning.period = seasoning.period,
lower.PSA = lower.PSA,
upper.PSA = upper.PSA
)
SaveSchedules(DealName = DealName, ScheduleFile = temp)
}
# -------- Collateral groups for the REMIC Constructor -------------------
# 1) construct the collateral class with call to new. This function is
# used by MakeCollateral
Collateral <- function(DealName = "character",
Group = numeric(),
Cusip = list(),
OrigBal = list()){
new("Collateral",
Group = as.numeric(Group),
Cusip = as.list(Cusip),
OrigBal = as.list(OrigBal)
)}
# 2) serialize the collateral information to the groups directory
#' A constructor function to create the collatreal group file for a REMIC
#'
#' Makes Collateral Groups for REMIC structure currently only representative
#' (aggregated collateral groups)
#' is supported. In the future multiple collateral pools or loans are
#' envisioned.
#' @param DealName A character string the deal's name
#' @param Group A numeric value the collateral group number
#' @param Cusip A list the collateral group name, collateral pool cusips,
#' or loan numbers.
#' @param OrigBal A list the original balance of the collateral group name,
#' pool cusip or loan numbers used in the deal
#' @examples
#' \dontrun{
#' MakeCollateral(DealName = "BondLabPACInverse",
#' Group = 1,
#' Cusip = list("bondlabMBS4"),
#' OrigBal = list("200000000"))
#' }
#'@export
MakeCollateral <- function(DealName = "character",
Group = numeric(),
Cusip = list(),
OrigBal = list()){
temp <- Collateral(DealName = DealName,
Group = Group,
Cusip = Cusip,
OrigBal = OrigBal)
SaveCollGroup(FileName = temp,
DealName = DealName,
Group = Group)
}
#-------------------------------------------------------------------------
# 3) aggregator function for the REMIC structure called by REMIC constructor
# the function assembles multiple collateral groups can be extended to
# loan level
#' A function to aggregate the collateral group information
#'
#' The function is used by the REMIC Constructor
#' @param NumberofGroups A numeric value the number collateral groups
#' @param DealName A character string the Deal Name
#' @export
CollateralGroup <- function(NumberofGroups = numeric(),
DealName = "character"){
GroupList <- list()
for(i in 1 : NumberofGroups){
connGroup <- REMICGroupConn(DealName = DealName, Group = i)
#connGroup <- gzfile(description = paste("~/BondLab/Groups/",
#DealName,"_","Group","_",i,".rds", sep = ""))
Group <- readRDS(connGroup)
GroupList <- append(GroupList, Group)
}
new("CollateralGroup",
Group = GroupList)
}
# ------ RDME Functions for the REMIC structuring tool -----
# 1) construct the tranche factors with the call to new
RDME <- function(Cusip = "character",
PaymentDate = "character",
Coupon = numeric(),
Factor = numeric()){
new("RDME",
Cusip = Cusip,
PaymentDate = PaymentDate,
Coupon = Coupon,
Factor = Factor)
}
# 2) serailize tranche factor date to RDME directory
#' A constructor function for the REMIC Disclosure Month End (RDME) file
#'
#' A constructor for the REMIC Month End Discloure. This file the
#' monthly factor data for each Tranche
#' @param DealName A charcter string the deal name
#' @param TrancheNumber A numeric value the number of the Tranche
#' @param Cusip A character string the tranche cusip
#' @param PaymentDate A character string the payment date
#' coinciding with the factor data
#' @param Coupon A numeric value the tranche's coupon
#' @param Factor A numeric value the tranche's factor
#' @examples
#' \dontrun{
#' MakeRDME(DealName = "BondLabPACInverse",
#' TrancheNumber = 1,
#' Cusip = "BondLabPAC2",
#' PaymentDate = "01-01-2013",
#' Coupon = 2.25,
#' Factor = 1)
#'
#' MakeRDME(DealName = "BondLabPACInverse",
#' TrancheNumber = 2,
#' Cusip = "BondLabFltr",
#' PaymentDate = "1-01-2013",
#' Coupon = 0.55,
#' Factor = 1)
#'
#' MakeRDME(DealName = "BondLabPACInverse",
#' TrancheNumber = 3,
#' Cusip = "BondLabCMP1",
#' PaymentDate = "1-01-2013",
#' Coupon = 9.21,
#' Factor = 1)
#'
#' MakeRDME(DealName = "BondLabPACInverse",
#' TrancheNumber = 4,
#' Cusip = "BondLabPACIO",
#' PaymentDate = "1-01-2013",
#' Coupon = 1.75,
#' Factor = 1)}
#'@export
MakeRDME <- function(DealName = "character",
TrancheNumber = numeric(),
Cusip = "character",
PaymentDate = "character",
Coupon = numeric(),
Factor = numeric()){
temp <- RDME(Cusip = Cusip,
PaymentDate = PaymentDate,
Coupon = Coupon,
Factor = Factor)
SaveRDME(FileName = temp,
DealName = DealName,
TrancheNumber = TrancheNumber)
}
# 3) aggregator function for tranche factor information
# called by REMIC contructor
#' A function to aggregate monthly updated factor data
#'
#' Aggregator function used by the REMIC constructor to aggregate
#' Monthly Factor Data
#' @param NumberofTranches A numeric value the Number of traches
#' related to the collateral group
#' @param DealName A character string the Deal Name
#' @export
RDMEData <- function(NumberofTranches = numeric(), DealName = "character"){
RDMEList <- list()
for(i in 1 : NumberofTranches){
RDMEFactor <- RDMEFactor(DealName = DealName, TrancheNumber = i)
#TrancesFactor <- function(DealName = "character",
#TrancheNumber = numeric()){
#connRDME <- gzfile(description = paste(
#"~/BondLab/RDME/",DealName,"_","Tranche","_",TrancheNumber,"_",
#"Factor",".rds", sep = ""))
#RDMEFactor <- readRDS(connRDME)
#return(RDMEFactor)
#close(connRDME)
#}
RDMEList <- append(RDMEList, RDMEFactor)
}
new("TrancheFactors",
FactorData = RDMEList)
}
# REMIC Constructor Function these functions are used to assemble the
# RAID, Tranches, RDME, and Collateral Groups into a single REMIC structure
#' The constructor function to build the REMIC deal from each of its elements
#'
#' The function Assembles the deal RAID, RDME, Tranches, and Groups files
#' into a REMIC structure
#' @param DealName A character string the deal's names
#' @examples
#' \dontrun{
#' RemicStructure("BondLabPACInverse")
#' }
#'@export
RemicStructure <- function(DealName = "character"){
RAID <- ReadRAID(RAIDFile = DealName)
Tranche <- TranchesList(NumberofTranches = RAID@NumberofTranches,
DealName = RAID@DealName)
CollateralGroupData <- CollateralGroup(NumberofGroups = RAID@NumberofGroups,
DealName = RAID@DealName)
FactorData <- RDMEData(NumberofTranches = RAID@NumberofTranches,
DealName = RAID@DealName)
REMIC <-new("REMICStructure",
DealName = RAID@DealName,
Issuer = RAID@Issuer,
DealNumber = RAID@DealNumber,
DealPriceDate = RAID@DealPriceDate,
DealSettlementDate = RAID@DealSettlementDate,
Underwriter = RAID@Underwriter,
Trustee = RAID@Trustee,
PricingSpeed = RAID@PricingSpeed,
JumpReferenceSpeed1 = RAID@JumpReferenceSpeed1,
JumpReferenceSpeed2 = RAID@JumpReferenceSpeed2,
JumpReferenceSpeed3 = RAID@JumpReferenceSpeed3,
JumpReferenceSpeed4 = RAID@JumpReferenceSpeed4,
NumberofTranches = RAID@NumberofTranches,
NumberofComponentTranches = RAID@NumberofComponentTranches,
NumberofCombinedTranches = RAID@NumberofCombinedTranches,
NumberofPools = RAID@NumberofPools,
PacSchedulesIncluded = RAID@PacSchedulesIncluded,
NumberofPacSchedules = RAID@NumberofPacSchedules,
NumberofGroups = RAID@NumberofGroups,
DealSize = RAID@DealSize,
CollateralAmount = RAID@CollateralAmount,
BondValue = RAID@BondValue,
BondValueMethod = RAID@BondValueMethod,
BondValueCap = RAID@BondValueCap,
BondValueDiscountRate = RAID@BondValueDiscountRate,
BondValueReinvestmentRate = RAID@BondValueReinvestmentRate,
ExpenseBasisPointFee = RAID@ExpenseBasisPointFee,
ExpenseFixed = RAID@ExpenseFixed,
ExpensePeriodicity = RAID@ExpensePeriodicity,
InitialReserveFund = RAID@InitialReserveFund,
Tranches = Tranche@Tranches,
CollateralGroup = CollateralGroupData@Group,
TrancheFactors = FactorData@FactorData)
SaveREMIC(DealName = DealName, file = REMIC)
}
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.