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cnmb_gtbls_b

cnmb_gtbls_b (routine)

Canadian mortgage backed security w/balloon - generate arrays of survival factors and cash flows

Introduced in release: 1.391
Component: Non-US (developed mkts)
Purpose: Given the parameters that describe the mortgage backed security, including a balloon payment, the prepayment model, and the pass-thru selections, this routine generates the arrays need to perform Canadian 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
 surv_rates_ppr      : Partial prepayment rates array
 surv_rates_lqr      : Liquidation rates array
 monthly_cfs         : Cash flow array
 monthly_bals        : Mortgage balance at the beginning of the month array
 monthly_sched_pmts  : Scheduled payment array
 monthly_sched_prns  : Scheduled principal payment array
 monthly_unsched_prns: Unscheduled principal payment (prepayments) array
 monthly_ints        : Interest payments 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: 07/23/1999

Doc Version: 5.0