mbs_sf_cprs

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mbs_sf_cprs

mbs_sf_cprs (routine)

Mortgage backed security - calculate the survival factor using % CPR array

Introduced in release: 1.2
Component: US MBS
Purpose: Calculate the monthly survival factors and the change in survival factor using an array of projected annual Constant Prepayment Rates

Alternatives: This routine uses an array (list) of projected prepayment rates. For the same calculation from a single prepayment rate use mbs_sf_cpr.

Results: The following values for each month are calculated 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

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: 12/14/1995

Doc Version: 5.0