mbs_gentblsg

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mbs_gentblsg

mbs_gentblsg (routine)

Mortgage backed security - GPM - generate arrays of survival factors and cash flows

Introduced in release: 1.0
Component: US MBS
Purpose: Given the parameters that describe the graduated payment 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     : Cash flow array
 monthly_bals    : Mortgage balance at the beginning of the month array
 monthly_prns    : Principal payment, including prepayment 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: 11/26/1996

Doc Version: 5.0