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mbs_sf_smmmbs_sf_smm (routine)
Mortgage backed security - calculate the survival factor using % SMM model
Introduced in release: 1.0
Component: US MBS
Purpose:
Calculate the monthly survival factors and the change in survival factors using a Single Monthly Mortality 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: 04/04/1990 | © 2001 TIPS, Inc. | Doc Version: 5.0 |