CF_CALC Model

Inputs

Orig_Face - DOUBLE
        Original face value of the loan ($)

Orig_Term - INTEGER
        Term at Origination, in months

FirstForecastYear - INTEGER
        Year (ex. 2001) of first forecast month : REQUIRED

FirstForecastMonth - INTEGER
        Month(1-12) of first forecast month : REQUIRED

LifeCap - DOUBLE
        Lifetime Cap of Arm, in (%)

LifeFloor - DOUBLE
        Lifetime Floor of Arm, in (%)

PeriodicCap - DOUBLE
        Periodic Cap of Arm, in (%)

PeriodicFloor - DOUBLE
        Periodic Floor of Arm, in (%)

IndexForecast - TIMESERIES
        Monthly Forecast of underlying index, in (%)

GrossMargin - DOUBLE
        Gross margin of loan, in %: REQUIRED

Index - INDICES
        Index of Underlying: REQUIRED

RemainingTerm - INTEGER
        Remaining Term of Collateral (Months) : REQUIRED

StartingWac - DOUBLE
        First gross wac for wac timeseries forecasting (Percent) : REQUIRED

FirstResetAge - INTEGER
        Age when loan first resets: REQUIRED

MonthsBetweenReset - INTEGER
        Number of months between reset periods: REQUIRED

IOMonths - INTEGER
        Number of months from origination the loan is interest-only

Cur_Face - DOUBLE
        Current face value of the loan ($)

WacIsFixed - INTEGER
        Flag for whether fixed or arm loantype. 1 for fixed, 0 for arm: REQUIRED

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

FirstResetCap - DOUBLE
        Periodic Cap of Arm's first rate adjustment, in (%)

FirstResetFloor - DOUBLE
        Periodic Floor of Arm's first rate adjustment, in (%)

LookBackMonths - INTEGER
        For Arms - the lookback for the Index to use for the reset. Default 1 month

Age - INTEGER
        AGE of Collateral (Payment # minus 1 of 1st Forecast) : REQUIRED

PayResetFreq - INTEGER
        For Arms - the months between payment resets

PayCap - DOUBLE
        For Arms - Maximum percentage change of payment at each reset (%)

MaxNegAm - DOUBLE
        For Arms - Maximum percentage of original balance that loan can negatively amortize (%) For example 121 would be 121%

IndexHistory - TIMESERIES
        For Arms - Timeseries of underlying index's history

CurMinimumPayment - DOUBLE
        For Option Arms - Current minimum payment ($)

RecastPeriod - INTEGER
        For Number of months between recasts

All_Inputs - INTEGER
        After you run the collateral, UnSetParam() this parameter to reset all inputs

GenerateCashflows - INTEGER
        Flag to indicate if you want to generate schedule cashflow for the loan

Results

Balance - TIMESERIES
        Beginning Balance

Payment - TIMESERIES
        Monthly Payment

Principal - TIMESERIES
        Monthly Principal

Interest - TIMESERIES
        Monthly Interest

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

Model - MODELS
        Model Name of Model

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

IndexHistory - TIMESERIES
        For Arms - Timeseries of underlying index's history

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