asset

package
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Published: Oct 22, 2024 License: GPL-3.0 Imports: 2 Imported by: 0

Documentation

Index

Constants

This section is empty.

Variables

This section is empty.

Functions

func BondRolls

func BondRolls(this *Bond, start, end utils.Date) (cf []float64)

Bond rolling forward to the next period

Types

type Bond

type Bond struct {
	Mp
	Initialized  bool
	Redeemed     bool
	PropHeld     float64
	PrevPropHeld float64
	PrevMv       float64
	PrevAbv      float64
	Mv           float64
	Abv          float64
}

func (*Bond) Val

func (bond *Bond) Val(valDate utils.Date)

type Mp

type Mp struct {
	Seg           int     `csv:"SEGMENT"`
	AssetType     string  `csv:"ASSET_TYPE"`
	Economy       string  `csv:"ECONOMY"`
	SpCode        int     `csv:"SP_CODE"`
	Pool          int     `csv:"POOL" `
	Cat           int     `csv:"CATEGORY" `
	RedempYear    int     `csv:"REDEMP_YEAR" `
	RedempMonth   int     `csv:"REDEMP_MONTH" `
	RedempAmt     float64 `csv:"REDEMP_AMT"`
	CouponPc      float64 `csv:"COUPON_PC"`
	CouponFreq    int     `csv:"COUPON_FREQ"`
	AssetScalar   float64 `csv:"ASSET_SCALAR"`
	BasisFlag     int     `csv:"BASIS_FLAG"`
	InitMvUsed    bool    `csv:"INIT_MV_USED"`
	InitMv        float64 `csv:"I_MV"`
	InitMktSpdPc  float64 `csv:"I_MARKET_SPREAD_PC"`
	InitBvUsed    bool    `csv:"INIT_BV_USED"`
	AmortType     int     `csv:"AMORT_TYPE"`
	InitAcciUsed  bool    `csv:"INIT_ACCI_USED"`
	InitAbv       float64 `csv:"I_ABV"`
	InitAcci      float64 `csv:"I_ACCI"`
	AmortRatePc   float64 `csv:"AMORT_RATE_PC"`
	SpreadBand    int     `csv:"SPREAD_BAND"`
	FaceValue     float64 `csv:"FACE_VALUE"`
	NotUsedString string  `csv:"-"`
}

func (Mp) AmortBookValue

func (bond Mp) AmortBookValue(start utils.Date) float64

func (Mp) RedempT

func (bond Mp) RedempT(start utils.Date) int

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