interpolate_bey: Find the interpolated bond equivalent yield for indemnity...

In vathymut/indemnity: NHA MBS indemnity yield.

Description

Find the interpolated bond equivalent yield for indemnity calculation.

Usage

interpolate_bey(issue_date, settlement_date, maturity_date, maturity_dt,
  yields_dt, wal, cmhc_audit = TRUE)

Arguments

issue_date	Issue date.
settlement_date	Settlement date.
maturity_date	Maturity date.
yields_dt	Datatable of historical yield curves.
wal	Weighted average life of security (NHA MBS pool).

Value

bey_interpolated Interpolated BEY for indemnity calculation.

Examples

issue_date <- lubridate::ymd( "2015-01-30" )
reporting_date <- lubridate::ymd( "2015-01-30" )
data( bloomberg_goc, package = "blpxl" )
data( bloomberg_cad_maturity, package = "blpxl" )
interpolate_bey( issue_date, reporting_date, wal, yields_dt = bloomberg_goc, maturity_dt = bloomberg_cad_maturity )

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