ARMMBS Model

Inputs

ARMType - ARMTYPES
        ARM MBS Collateral Type : 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

Curve_Type - CURVE_TYPES
        Yield curve type (par or spot, Treasury or swap) : REQUIRED

1YrRateHist - TIMESERIES
        Short (1 Year) CMT/Libor Rate History TimeSeries (Percent) (see CurveType)

10YrRateHist - TIMESERIES
        Long (10 Year) CMT/Libor Rate History TimeSeries (Percent) (see CurveType)

Orig10Yr - DOUBLE
        10 Year Rate at Origination (FFdate-age-1) if 10 Year history not supplied

1Yr_Fcst - TIMESERIES
        Time-series containing 1-yr CMT/Libor rate forecast (Percent) (see CurveType): REQUIRED

10Yr_Fcst - TIMESERIES
        Time-series containing 10-yr CMT/Libor rate forecast (Percent) (see CurveType) : REQUIRED

WacForecast - TIMESERIES
        Gross ARM WAC Forecast vector (Percent) : REQUIRED

ForecastMonths - INTEGER
        Only Forecast Next N Months

ForecastOffSet - INTEGER
        Start Forecast Offset Months After AsOfMonth

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)

SmmTuneScale - DOUBLE
        Tune by Scaling Output (Default 1.0)

TuneRampAge - DOUBLE
        Tune Initial Age Response (0.8-1.0)

TuneAgeBurnOut - DOUBLE
        Tune Length of Age Response (Default 1.0)

TuneBase - DOUBLE
        Tune Base Prepayment Rate (Default 1.0)

TuneRate - DOUBLE
        Tune all Rate Responses (Default 1.0)

SmmTuneLag - DOUBLE
        Tune by changing rate response lag (Default 1.0)

AsOfYear - INTEGER
        Old Name for FirstForecastYear (ex. 2001)

AsOfMonth - INTEGER
        Old Name for FirstForecastMonth(1-12)

V43SubStruct - UDATAPTR
        Set Model (Excl. Vectors) from an old v43 StdSub IO_structure. adjusted_factor!=0 => PreCalc'd

V43ItxStruct - UDATAPTR
        Set Model (Excl. Vectors) from an old v43 ItxSub IO_structure. adjusted_factor!=0 => PreCalc'd

V43NlhStruct - UDATAPTR
        Set Model (Excl. Vectors) from an old v43 NoLoadHist IO_structure. adjusted_factor!=0 => PreCalc'd

V43VbStruct - UDATAPTR
        Set Model from an old v43 VB IO_structure. adjusted_factor!=0 => PreCalc'd

V43BbgStruct - UDATAPTR
        Set Model (Excl. Vectors) from an old v43 BBG IO_structure. adjusted_factor!=0 => PreCalc'd

DUMPFILE - STRING
        ADCO PPModel Debugging Dump File (Use Only As Advised by AD&Co!)

Results

SMM - TIMESERIES
        Speed vector as Simple Monthly Mortality (decimal)

MaxLag - INTEGER
        Maximum months rate lookback data required

Model - MODELS
        Model Name of Model

VERSION - STRING
        AD&Co System/Model Version Number <System No>.<API No>.<Model No><compile letter>

License - STRING
        Last month license key will work with this model

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