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mbs_sf_psa

mbs_sf_psa (routine)

Mortgage backed security - calculate the survival factor using % PSA model

Introduced in release: 1.0
Component: US MBS
Purpose: Calculate the monthly survival factors and the change in survival factors using the Public Securities Association model

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

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
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: 09/19/1991© 2001 TIPS, Inc.Doc Version: 5.0