arm_gen_tbls

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arm_gen_tbls

arm_gen_tbls (routine)

ARMs - generate arrays of survival factors and cash flows

Introduced in release: 1.2
Component: US MBS
Purpose: Given the parameters that describe the mortgage backed security, the prepayment model, and the pass-thru selections, this routine generates the arrays need to perform MBS analytics

Results: The following values are calculated for each month and returned in arrays, with the first element of the array containing the value for the first month:

 surv_fctr           : Survival factor array
 delta_surv_fctrs    : Change in survival factor from last month array
 monthly_cfs         : Total cash flow array
 monthly_bals        : Mortgage balance at the beginning of the month array
 monthly_tot_prns    : Total principal payment, including prepayments array
 monthly_sched_prns  : Scheduled principal payment array
 monthly_unsched_prns: Unscheduled principal payment (prepayments) array
 monthly_ints        : Interest payments array
 cpn_rates           : Coupon rate array

All results are accurate to as many places as supported by a double precision value.

Error Conditions: Returned values should be ignored for a non-zero status. See Errors.

Last Mod Date: 12/15/1995

Doc Version: 5.0