All,
I am working on structuring a FHLMC credit risk transfer deal. I have the deal
modeled as a list of lists as shown below. I would like to fill in the
CashFlows. The first step is simply to assign the current balance to the first
position in CashFlow$BeginBal. I am using the below function to update the
values in the list. The function works properly but the list values are not
updated. Any help is appreciated.
Best,
Glenn
BeginBal <- function(deal,period){
numtranches = length(deal)
tranches = seq(numtranches,1,-1)
for(tranche in seq_along(tranches)){
cashflow <- NULL
if(period == 1) {cashflow <-
c(deal[[tranche]]$CashFlow$BeginBal, deal[[tranche]]$CurrBal)
} else {
cashflow <- c(deal[[tranche]]$CashFlow$BeginBal,
deal[[tranche]]$CashFlow$EndingBal[[period -1]])}
deal[[tranche]]$CashFlow$BeginBal <- cashflow
print(deal[[tranche]]$CashFlow$BeginBal)
}
}
for(period in 1:1){
BeginBal(Deal, period)
}
structure(list(OC = structure(list(Tranche = "OC", Cusip = NULL,
Coupon = 0L, Index = NULL, Margin = NULL, OrigBal = 25905603,
CurrBal = 25905603, CashFlow = structure(list(BeginBal = list(),
WriteDown = list(), WriteUp = list(), EndBal = list()), .Names = c("BeginBal",
"WriteDown", "WriteUp", "EndBal"))), .Names = c("Tranche",
"Cusip", "Coupon", "Index", "Margin", "OrigBal", "CurrBal", "CashFlow"
)), B2H = structure(list(Tranche = "B2H", Cusip = NULL, Coupon = 10.7794,
Index = "LIBOR1M", Margin = 10, OrigBal = 152827059, CurrBal = 152827059,
IssueDate = "02-01-2017", DatedDate = "02-01-2017", LastPmtDate = "02-01-2017",
NextPmtDate = "02-25-2017", MaturityDate = "07-25-2029",
CashFlow = structure(list(BeginBal = list(), Interest = list(),
WriteDown = list(), WriteUp = list(), SeniorReduction = list(),
SubReduction = list(), EndBal = list()), .Names = c("BeginBal",
"Interest", "WriteDown", "WriteUp", "SeniorReduction", "SubReduction",
"EndBal"))), .Names = c("Tranche", "Cusip", "Coupon", "Index",
"Margin", "OrigBal", "CurrBal", "IssueDate", "DatedDate", "LastPmtDate",
"NextPmtDate", "MaturityDate", "CashFlow")), B2 = structure(list(
Tranche = "B2", Cusip = NULL, Coupon = 10.77944, Index = "LIBOR1M",
Margin = 10, OrigBal = 1.7e+07, CurrBal = 1.7e+07, IssueDate = "02-01-2017",
DatedDate = "02-01-2017", LastPmtDate = "02-01-2017", NextPmtDate = "02-25-2017",
MaturityDate = "07-25-2029", CashFlow = structure(list(BeginBal = list(),
Interest = list(), WriteDown = list(), WriteUp = list(),
SeniorReduction = list(), SubReduction = list(), EndBal = list()), .Names = c("BeginBal",
"Interest", "WriteDown", "WriteUp", "SeniorReduction", "SubReduction",
"EndBal"))), .Names = c("Tranche", "Cusip", "Coupon", "Index",
"Margin", "OrigBal", "CurrBal", "IssueDate", "DatedDate", "LastPmtDate",
"NextPmtDate", "MaturityDate", "CashFlow")), B1H = structure(list(
Tranche = "B1H", Cusip = NULL, Coupon = 5.72944, Index = "LIBOR1M",
Margin = 4.95, OrigBal = 49827059, CurrBal = 49827059, IssueDate = "02-01-2017",
DatedDate = "02-01-2017", LastPmtDate = "02-01-2017", NextPmtDate = "02-25-2017",
MaturityDate = "07-25-2029", CashFlow = structure(list(BeginBal = list(),
Interest = list(), WriteDown = list(), WriteUp = list(),
SeniorReduction = list(), SubReduction = list(), EndBal = list()), .Names = c("BeginBal",
"Interest", "WriteDown", "WriteUp", "SeniorReduction", "SubReduction",
"EndBal"))), .Names = c("Tranche", "Cusip", "Coupon", "Index",
"Margin", "OrigBal", "CurrBal", "IssueDate", "DatedDate", "LastPmtDate",
"NextPmtDate", "MaturityDate", "CashFlow")), B1 = structure(list(
Tranche = "B1", Cusip = NULL, Coupon = 5.72944, Index = "LIBOR1M",
Margin = 4.95, OrigBal = 1.2e+08, CurrBal = 1.2e+08, IssueDate = "02-01-2017",
DatedDate = "02-01-2017", LastPmtDate = "02-01-2017", NextPmtDate = "02-25-2017",
MaturityDate = "07-25-2029", CashFlow = structure(list(BeginBal = list(),
Interest = list(), WriteDown = list(), WriteUp = list(),
SeniorReduction = list(), SubReduction = list(), EndBal = list()), .Names = c("BeginBal",
"Interest", "WriteDown", "WriteUp", "SeniorReduction", "SubReduction",
"EndBal"))), .Names = c("Tranche", "Cusip", "Coupon", "Index",
"Margin", "OrigBal", "CurrBal", "IssueDate", "DatedDate", "LastPmtDate",
"NextPmtDate", "MaturityDate", "CashFlow")), M2H = structure(list(
Tranche = "M2H", Cusip = NULL, Coupon = 4.02944, Index = "LIBOR1M",
Margin = 3.25, OrigBal = 151463884, CurrBal = 151463884,
IssueDate = "02-01-2017", DatedDate = "02-01-2017", LastPmtDate = "02-01-2017",
NextPmtDate = "02-25-2017", MaturityDate = "07-25-2029",
CashFlow = structure(list(BeginBal = list(), Interest = list(),
WriteDown = list(), WriteUp = list(), SeniorReduction = list(),
SubReduction = list(), EndBal = list()), .Names = c("BeginBal",
"Interest", "WriteDown", "WriteUp", "SeniorReduction", "SubReduction",
"EndBal"))), .Names = c("Tranche", "Cusip", "Coupon", "Index",
"Margin", "OrigBal", "CurrBal", "IssueDate", "DatedDate", "LastPmtDate",
"NextPmtDate", "MaturityDate", "CashFlow")), M2 = structure(list(
Tranche = "M2", Cusip = NULL, Coupon = 4.02944, Index = "LIBOR1M",
Margin = 3.25, OrigBal = 3.75e+08, CurrBal = 3.75e+08, IssueDate = "02-01-2017",
DatedDate = "02-01-2017", LastPmtDate = "02-01-2017", NextPmtDate = "02-25-2017",
MaturityDate = "07-25-2029", CashFlow = structure(list(BeginBal = list(),
Interest = list(), WriteDown = list(), WriteUp = list(),
SeniorReduction = list(), SubReduction = list(), EndBal = list()), .Names = c("BeginBal",
"Interest", "WriteDown", "WriteUp", "SeniorReduction", "SubReduction",
"EndBal"))), .Names = c("Tranche", "Cusip", "Coupon", "Index",
"Margin", "OrigBal", "CurrBal", "IssueDate", "DatedDate", "LastPmtDate",
"NextPmtDate", "MaturityDate", "CashFlow")), M1H = structure(list(
Tranche = "M1H", Cusip = NULL, Coupon = 1.97944, Index = "LIBOR1M",
Margin = 1.2, OrigBal = 117584943, CurrBal = 117584943, IssueDate = "02-01-2017",
DatedDate = "02-01-2017", LastPmtDate = "02-01-2017", NextPmtDate = "02-25-2017",
MaturityDate = "07-25-2029", CashFlow = structure(list(BeginBal = list(),
Interest = list(), WriteDown = list(), WriteUp = list(),
SeniorReduction = list(), SubReduction = list(), EndBal = list()), .Names = c("BeginBal",
"Interest", "WriteDown", "WriteUp", "SeniorReduction", "SubReduction",
"EndBal"))), .Names = c("Tranche", "Cusip", "Coupon", "Index",
"Margin", "OrigBal", "CurrBal", "IssueDate", "DatedDate", "LastPmtDate",
"NextPmtDate", "MaturityDate", "CashFlow")), M1 = structure(list(
Tranche = "M1", Cusip = NULL, Coupon = 1.97944, Index = "LIBOR1M",
Margin = 1.2, OrigBal = 2.9e+08, CurrBal = 2.9e+08, IssueDate = "02-01-2017",
DatedDate = "02-01-2017", LastPmtDate = "02-01-2017", NextPmtDate = "02-25-2017",
MaturityDate = "07-25-2029", CashFlow = structure(list(BeginBal = list(),
Interest = list(), WriteDown = list(), WriteUp = list(),
SeniorReduction = list(), SubReduction = list(), EndBal = list()), .Names = c("BeginBal",
"Interest", "WriteDown", "WriteUp", "SeniorReduction", "SubReduction",
"EndBal"))), .Names = c("Tranche", "Cusip", "Coupon", "Index",
"Margin", "OrigBal", "CurrBal", "IssueDate", "DatedDate", "LastPmtDate",
"NextPmtDate", "MaturityDate", "CashFlow")), A1H = structure(list(
Tranche = "AH", Cusip = NULL, Coupon = 0L, Index = "LIBOR1M",
Margin = 1.2, OrigBal = 32691709407, CurrBal = 32691709407,
IssueDate = "02-01-2017", DatedDate = "02-01-2017", LastPmtDate = "02-01-2017",
NextPmtDate = "02-25-2017", MaturityDate = "07-25-2029",
CashFlow = structure(list(BeginBal = list(), Interest = list(),
WriteDown = list(), WriteUp = list(), SeniorReduction = list(),
SubReduction = list(), EndBal = list()), .Names = c("BeginBal",
"Interest", "WriteDown", "WriteUp", "SeniorReduction", "SubReduction",
"EndBal"))), .Names = c("Tranche", "Cusip", "Coupon", "Index",
"Margin", "OrigBal", "CurrBal", "IssueDate", "DatedDate", "LastPmtDate",
"NextPmtDate", "MaturityDate", "CashFlow"))), .Names = c("OC",
"B2H", "B2", "B1H", "B1", "M2H", "M2", "M1H", "M1", "A1H"))
BeginBal <- function(deal,period){
numtranches = length(deal)
tranches = seq(numtranches,1,-1)
for(tranche in seq_along(tranches)){
cashflow <- NULL
if(period == 1) {cashflow <-
c(deal[[tranche]]$CashFlow$BeginBal, deal[[tranche]]$CurrBal)
} else {
cashflow <- c(deal[[tranche]]$CashFlow$BeginBal,
deal[[tranche]]$CashFlow$EndingBal[[period -1]])}
deal[[tranche]]$CashFlow$BeginBal <- cashflow
print(deal[[tranche]]$CashFlow$BeginBal)
}
}
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