README.md

In vathymut/indemnity: NHA MBS indemnity yield.

README

About

indemnity calculates the NHAMBS bond equivalent yield for indemnity payments using interpolation.

The methodology for indemnity calculation is outlined here.

Installation

You can get the development version by running:

devtools::install_github("vathymut/indemnity")

Usage

To calculate the bond equivalent yield for indemnity pricing, use:

issue_date <- lubridate::ymd( "2012-12-01" )
settlement_date <- lubridate::ymd( "2013-01-31" )
maturity_date <- lubridate::ymd( "2017-09-01" )
# Assumes package blpxl is available (Check library path: .libPaths()).
data( bloomberg_goc, package = "blpxl" )
data( bloomberg_cad_maturity, package = "blpxl" ) 
wal <- 3.812
interpolate_bey( issue_date, settlement_date, wal, yields_dt = bloomberg_goc, maturity_dt = bloomberg_cad_maturity )

vathymut/indemnity documentation built on May 3, 2019, 4:35 p.m.