Term - TERMS
Amortization term of the loan: Required
WAC - DOUBLE
Gross Coupon(WAC) of Loan(Pool) in Percent. If ARM, this is WAC at origination : REQUIRED
RemainingTerm - INTEGER
Remaining Term of Collateral (Months) : REQUIRED
Age - INTEGER
AGE of Collateral (Payment # minus 1 of 1st Forecast) : REQUIRED
FirstForecastYear - INTEGER
Year (ex. 2001) of first forecast month : REQUIRED
FirstForecastMonth - INTEGER
Month(1-12) of first forecast month : REQUIRED
SmmTuneScale - DOUBLE
Scale overall SMM(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneRefi - DOUBLE
Scale Refi SMM(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneTurnOver - DOUBLE
Scale Turnover SMM(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneCashout - DOUBLE
Scale Cashout SMM(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneCure - DOUBLE
Scale Cure SMM(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneAge - DOUBLE
Speed-up/Slow-down Aging(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneSlide - DOUBLE
Slide S-Curve by adding X bp to the spread over CCY (Default 0.0, positive means slower speeds)
SmmTuneSATO - DOUBLE
Scale SATO Effect
SmmTuneCATO - DOUBLE
Scale CATO Effect
SmmTuneBurnout - DOUBLE
Tune Burnout(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneLag - DOUBLE
Adjust Lag(range [0,2], default 1.0. Bigger means more lag)
CCYHistory - TIMESERIES
Current Coupon Yield History vector for Security or Rate Proxy (Percent) : Optional. Replaced Datafiles' history
HPIHistory - TIMESERIES
Housing Price Index History vector (Percent)
CCYForecast - TIMESERIES
Current Coupon Yield Forecast vector for Security or Rate Proxy (Percent) : REQUIRED if not providing 2, 10 year forecast(v5.1)
HPIForecast - TIMESERIES
Housing Price Index Forecast vector
ForecastMonths - INTEGER
Only Forecast Next N Months
ForecastOffSet - INTEGER
Start Forecast Offset Months After AsOfMonth
OriginationYear - INTEGER
Deprecated. Use FirstForecastYear instead
OriginationMonth - INTEGER
Deprecated. Use FirstForecastMonth instead
HPIRvsnVal - DOUBLE
Long Term Annual House Price Growth Ratio, in percent (for 6.5% enter 6.5)
AsOfYear - INTEGER
Old Name for FirstForecastYear (ex. 2001)
AsOfMonth - INTEGER
Old Name for FirstForecastMonth(1-12)
Psi0 - DOUBLE
Proportion of borrowers who are active at origination, in Percent - Optional. See Active-Passive
PsiT - DOUBLE
Proportion of borrowers who are active at FirstForecast date, in Percent - Optional. See Active-Passive
Cashout_RM - DOUBLE
Risk Multiplier for Cashout Incentive (range [0,2], default 1.0. Bigger means faster prepays)
Cure_RM - DOUBLE
Risk Multiplier for Credit Curing Effect (range [0,2], default 1.0. Bigger means faster prepays)
Refi_RM - DOUBLE
Risk Multiplier for Refinance Incentive (range [0,2], default 1.0. Bigger means faster prepays)
Turnover_RM - DOUBLE
Risk Multiplier for Turnover (range [0,2], default 1.0. Bigger means faster prepays)
2Yr_Fcst - TIMESERIES
Time-series containing 2-yr Libor/Swap rate forecast (Percent) - must be as long as forecast_length starting at ff_date, inclusive : REQUIRED
10Yr_Fcst - TIMESERIES
Time-series containing 10-yr Libor/Swap rate forecast (Percent) - must be as long as forecast_length starting at ff_date, inclusive : REQUIRED
2Yr_Hist - TIMESERIES
Time-series containing 2-yr Libor/Swap rate history (Percent) - Only use if not using datafiles (Optional)
10Yr_Hist - TIMESERIES
Time-series containing 10-yr Libor/Swap rate history (Percent) - Only use if not using datafiles (Optional)
SmmTuneScaleModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale overall SMM(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneRefiModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Refi SMM(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneTurnOverModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Turnover SMM(range [0,2], default 1.0. Bigger faster prepays)
SmmTuneCashoutModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Cashout SMM(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneCureModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Cure SMM(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneAgeModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Speed-up/Slow-down Aging(range [0,2], default 1.0. Bigger means quicker aging)
SmmTuneSlideModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Slide S-Curve by adding X bp to the spread over CCY (Default 0.0, positive means slower speeds)
SmmTuneSATOModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale SATO Effect (Default 1.0)
SmmTuneCATOModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale CATO Effect (Default 1.0)
SmmTuneBurnoutModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Tune Burnout(range [0,2], default 1.0. Bigger means faster prepays)
SmmTuneLagModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Adjust Lag(range [0,2], default 1.0. Bigger means more lag)
Orig_Face - DOUBLE
Original face value of the loan ($)
Orig_LTV - DOUBLE
Original LTV in percent
Orig_Val - DOUBLE
Value of property at origination in dollars : Deprecated.
Cur_Val - DOUBLE
Value of property at as-of date in dollars : Deprecated.
State - STATES
The state in which the property is located : Deprecated.
Original_Spread - DOUBLE
WAC - mortgage rate at origination : Deprecated.
LoanType - LOANTYPES
Fixed HEL Collateral Type: Required
CallerData1 - UDATAPTR
Caller Specific Data Item 1 (ex. Intex iCMO struct)
CallerData2 - UDATAPTR
Caller Specific Data Item 2 (ex. Intex POOL struct)
TuneBack - UDATAPTR
Callback function (see developer docs)
HPI_Rvsn_Val - DOUBLE
Long term rate of HPI growth (in Percent) if HPI forecast not set
HPI_Rvsn_Mnths - INTEGER
Months over which HPI reverts to mean if HPI forecast not set : Deprecated.
TuningStartYear - INTEGER
Start year to apply tuning parameters
TuningStartMonth - INTEGER
Start month to apply tuning parameters
TuningRampMonths - INTEGER
Number of month for tunings to ramp up to full effect from the start date
TuningEndYear - INTEGER
End year to apply tuning parameters
TuningEndMonth - INTEGER
End month to apply tuning parameters
TuningFadeMonths - INTEGER
Number of months for tunings to fade back to default effect after the end date
DUMPFILE - STRING
ADCO PPModel Debugging Dump File (Use Only As Advised by AD&Co!)
All_Inputs - INTEGER
After you run the collateral, UnSetParam() this parameter to reset all inputs
DealID - STRING
Identifier of deal into which collateral is securitized (or other superset of the collateral). For logging purposes only
PoolID - STRING
Identifier of collateral that is being run through model. For logging purposes only
ZeroVectorsFlag - STRING
Flag to indicate that all returned vectors should be 0
TuneString - STRING
Base string to choose tunings (ALT_A. PRIME ...)
TuningShelf - STRING
Tuning label chosen by TuneString, and other loan characteristics
TuningShelf1 - STRING
Tuning label chosen by TuneString, TuningShelf and other loan characteristics
TuningShelf2 - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1 and other loan characteristics
TuningShelf3 - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1-2 and other loan characteristics
TuningShelf4 - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1-3 and other loan characteristics
CustomTuningShelf - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1-4 and other loan characteristics
SMM - TIMESERIES
Speed vector as Simple Monthly Mortality (decimal)
CashoutSMM - TIMESERIES
Speed vector as Simple Monthly Mortality (decimal) that is based on cash-out incentive
CreditCureSMM - TIMESERIES
Speed vector as Simple Monthly Mortality (decimal) that is based on credit-curing incentive
RefiSMM - TIMESERIES
Speed vector as Simple Monthly Mortality (decimal) that is based on refinance incentive
TurnoverSMM - TIMESERIES
Speed vector as Simple Monthly Mortality (decimal) that is based on turnover
MaxLag - INTEGER
Maximum months rate lookback data required
ForecastCount - INTEGER
Number of Months of Forecast in SMM vector
VERSION - STRING
AD&Co System/Model Version Number <System No>.<API No>.<Model No><compile letter>
Model - MODELS
Model Name of Model
License - STRING
Last month license key will work with this model
SMMHistory - TIMESERIES
Speed vector as Simple Monthly Mortality (decimal) - From Precalc()
OrigYear - INTEGER
Year of Loan Origination (calculated from age)
OrigMonth - INTEGER
Month of Loan Origination (calculated from age)
TuningShelf - STRING
Tuning label chosen by TuneString, and other loan characteristics
TuningShelf1 - STRING
Tuning label chosen by TuneString, TuningShelf and other loan characteristics
TuningShelf2 - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1 and other loan characteristics
TuningShelf3 - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1-2 and other loan characteristics
TuningShelf4 - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1-3 and other loan characteristics
CustomTuningShelf - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1-4 and other loan characteristics
| Element Name | Element Description | Type |
| 5Yr-10Yr | FN15 | |
| 15Yr-20Yr | FN15 | |
| 25Yr-30Yr | FN30 |
| Element Name | Element Description | Type |
| 5Yr-10Yr | NONCONF_HPI | |
| 15Yr-20Yr | NONCONF_HPI | |
| 25Yr-30Yr | NONCONF_HPI |
| Element Name | Element Description | Type |
| 5Yr-10Yr | FN15_MAVG | |
| 15Yr-20Yr | FN15_MAVG | |
| 25Yr-30Yr | FN30_MAVG |
| Element Name | Element Description | Type |
| 5Yr-10Yr | 5 to 10 Years | STRING |
| 15Yr-20Yr | 15 to 20 Years | STRING |
| 25Yr-30Yr | 25 to 30 Years | STRING |
| Element Name | Element Description | Type |
| AK | Alaska | DOUBLE |
| AL | Alabama | DOUBLE |
| AR | Arkansas | DOUBLE |
| AZ | Arizona | DOUBLE |
| CA | California | DOUBLE |
| CO | Colorado | DOUBLE |
| CT | Connecticut | DOUBLE |
| DC | District of Columbia | DOUBLE |
| DE | Delaware | DOUBLE |
| FL | Florida | DOUBLE |
| GA | Georgia | DOUBLE |
| HI | Hawaii | DOUBLE |
| IA | Iowa | DOUBLE |
| ID | Idaho | DOUBLE |
| IL | Illinois | DOUBLE |
| IN | Indiana | DOUBLE |
| KS | Kansas | DOUBLE |
| KY | Kentucky | DOUBLE |
| LA | Louisiana | DOUBLE |
| MA | Massachusetts | DOUBLE |
| MD | Maryland | DOUBLE |
| ME | Maine | DOUBLE |
| MI | Michigan | DOUBLE |
| MN | Minnesota | DOUBLE |
| MO | Missouri | DOUBLE |
| MS | Mississippi | DOUBLE |
| MT | Montana | DOUBLE |
| NC | North Carolina | DOUBLE |
| ND | North Dakota | DOUBLE |
| NE | Nebraska | DOUBLE |
| NH | New Hampshire | DOUBLE |
| NJ | New Jersey | DOUBLE |
| NM | New Mexico | DOUBLE |
| NV | Nevada | DOUBLE |
| NY | New York | DOUBLE |
| OH | Ohio | DOUBLE |
| OK | Oklahoma | DOUBLE |
| OR | Oregon | DOUBLE |
| PA | Pennsylvania | DOUBLE |
| RI | Rhode Island | DOUBLE |
| SC | South Carolina | DOUBLE |
| SD | South Dakota | DOUBLE |
| TN | Tennessee | DOUBLE |
| TX | Texas | DOUBLE |
| UT | Utah | DOUBLE |
| VA | Virginia | DOUBLE |
| VT | Vermont | DOUBLE |
| WA | Washington | DOUBLE |
| WI | Wisconsin | DOUBLE |
| WV | West Virginia | DOUBLE |
| WY | Wyoming | DOUBLE |
| Other | Other | DOUBLE |
| Unknown | Unknown | DOUBLE |
| PR | Puerto_Rico | DOUBLE |
| GU | Guam | DOUBLE |
| Element Name | Element Description | Type |
| 5Yr-10Yr | 5 to 10 Years | STRING |
| 15Yr-20Yr | 15 to 20 Years | STRING |
| 25Yr-30Yr | 25 to 30 Years | STRING |
| Element Name | Element Description | Type |
| PAR_TSY | Par Treasury | STRING |
| SPOT_TSY | Zero-coupon Treasury | STRING |
| PAR_SWAP | Par LIBOR/Swap | STRING |
| SPOT_SWAP | Zero-coupon LIBOR/Swap | STRING |
| Element Name | Element Description | Type |
| FIXEDMBS | MBS Fixed Rate Model | POOL |
| ARMMBS | MBS Adjustable Rate Model | POOL |
| HYBRIDMBS | MBS Fixed Rate Model | POOL |
| ABSHEL | ABS Fixed Rate Home Equity LOANTYPE Model | POOL |
| ABSMH | ABS Manufactured Housing Model | POOL |
| ABSAUTO | ABS Automobile Loan Model | POOL |
| ABSARMHEL | ABS ARM Home Equity Loan Model | POOL |
| WHOLELOAN | Jumbo Loan-Level Fixed Rate Model | LOAN |
| NONAGENCYPRIME | Jumbo Loan-Level Fixed Rate Model | LOAN |
| LOAN_DYNAMICS | Loan Dynamics Credit Model | LOAN |
| CCYCALC | Current Coupon Yield Calculator | UTILITY |
| HISTCACHE | Index History Cache PseudoModel | UTILITY |
| PPCALC | Prepayment Utility Calculations | UTILITY |
| HPICALC | House Price Index Forecast Model | UTILITY |
| UNIFIED | Unified Model | LOAN |
| CF_CALC | Schedule Cashflow Calculator | UTILITY |