```
# 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/>.
#' A function to calcualte the cashflow of the REMIC collateral
#'
#' Calculate the REMIC collateral cashflow. This function is used to
#' structure a REMIC at the pricing speed. This function is also used to
#' reverse engineer a REMIC
#' @param bond.id a character the bond cusip or id
#' @param settlement.date a character the settlement date
#' @param term.structure a character refering to object of type TermStructure
#' @param principal a character the current balance contributed to the REMIC
#' @param PSA the PSA assumtion used to price the deal
#' @export CollateralCashFlow
CollateralCashFlow <- function(bond.id = "character",
settlement.date = "character",
term.structure = "character",
principal = numeric(),
PSA = numeric()){
MBS <- MBS(MBS.id = bond.id)
TermStructure <- term.structure
MortgageRate <- MtgRate()
ModelTune <- ModelTune(MBS)
Vector <- PrepaymentModel(
bond.id = MBS,
TermStructure = TermStructure,
MortgageRate = MortgageRate,
ModelTune = ModelTune,
Burnout = BurnOut(MBS),
PrepaymentAssumption = "PPC",
begin.cpr = .002 * (PSA/PSA.basis),
end.cpr = .06 * (PSA/PSA.basis),
seasoning.period = 30)
CollateralCashFlow <- CashFlowEngine(
bond.id = MBS,
settlement.date = settlement.date,
principal = principal,
PrepaymentAssumption = Vector)}
#' Function to assign the beginning principal balance to REMIC tranche
#'
#' This function takes the ending balance of the previous period and assigns
#' the value to the beginning balance in the current period. Structuring
#' functions run on a tree structure created by the package data.tree.
#' See data.tree for more details on the package.
#' @param node The entry point of the deal's tree structure.
#' @param period A numeric value the period in which payment is recieved
#' stated as an integer.
#' @export BeginBal
BeginBal <- function(node, period){
if(period == 1) {node$BeginBal[period] <- node$CurrBal
} else {node$BeginBal[period] <- node$EndingBal[period-1]}}
#' Function to calculate interest in the current period based on Beginning
#' Balance.
#'
#' The function takes beginning balance and frequency and period to
#' calculate interest due the investor in the period. The coupon is passed
#' via the node argument from the deal's tree structure. Structuring
#' functions run on a tree structure created by the
#' package data.tree. See data.tree for more details on the package.
#' @param node The entry point of the deal's tree structure
#' @param frequency the number of payments received over the calendar year
#' @param period A numeric value the period in which payment is received
#' stated as integer
Interest <- function(node, frequency, period = numeric()){
node$Interest = node$Coupon/(yield.basis * frequency) * node$BeginBal}
#' Function to assign the ending principal balance to REMIC tranche
#'
#' This function takes the beginning balance of the current period to
#' calculate the ending balance of the current period based on the principal
#' paid in the period. The principal paid in the period is passed via the
#' node$Principal argument Structuring functions run on a tree structure
#' created by the package data.tree
#' @param node The entry point of the deal's tree structure
#' @param period A numeric value the period in which payment is received
#' stated as integer
EndingBal <- function(node, period = numeric()){
node$EndingBal[period] = as.numeric(node$BeginBal[period]) -
as.numeric(node$Principal[period])}
#' A function to calculate the floater coupon
#'
#' The function calculates the floater coupon given
#' @param cap a numeric value the floater cap
#' @param floor a numeric value the floater floor
#' @param margin a numeric value the floater margin
#' @param index a numeric value the index value
#' @param multiplier a numeric value the index multiplier
#' @export FloatCoupon
FloatCoupon <- function(cap, floor, margin, index, multiplier){
min(cap, max((index * multiplier) + margin, floor))}
```

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