HYBRIDMBS Model

Inputs

HybridType - HYBRIDTYPE
        Hybrid MBS Collateral Type : REQUIRED

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

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

WAC - DOUBLE
        Gross Coupon(WAC) of Loan(Pool) in Percent. If ARM, this is WAC at origination : REQUIRED

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

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

SmmTuneScale - DOUBLE
        Tune by Scaling Output (Default 1.0)

SmmTuneCurve - DOUBLE
        Tune by Expanding Rate Response Curve (Default 1.0)

SmmTuneSlide - DOUBLE
        Tune by Sliding Rate Response Curve (Default 1.0)

SmmTuneRefi - DOUBLE
        Tune by changing Rate Response Above WAC (Default 1.0)

SmmTuneTurnOver - DOUBLE
        Tune by changing Rate Response Below WAC (Default 1.0)

SmmTuneBurnOut - DOUBLE
        Tune by changing burnout response (Default 1.0)

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

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)

CCYHistory - TIMESERIES
        Current Coupon Yield History vector for Security or Rate Proxy (Percent) : Optional. Replaced Datafiles' history

CCYForecast - TIMESERIES
        Current Coupon Yield Forecast vector for Security or Rate Proxy (Percent) : REQUIRED if not providing 2, 10 year forecast(v5.1)

ForecastMonths - INTEGER
        Only Forecast Next N Months

ForecastOffSet - INTEGER
        Start Forecast Offset Months After AsOfMonth

OriginationYear - INTEGER
        Year (ex. 2001) of Origination (AsOf = Orig+Age+1) : Deprecated. Use FirstForecastYear instead please

OriginationMonth - INTEGER
        Month(1-12) of Origination (AsOf = Orig+Age+1) : Deprecated. Use FirstForecastYear instead please

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

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

CCYFcstCurrent - SWITCHTYPES
        Use current CCY as Forecast

HYBRIDREVERSION - DOUBLE
        Hybrid ARM Long Term Speed

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

HYBRIDBALLOON - DOUBLE
        If True, Pool pays off at reset

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

Results

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

Burnout - TIMESERIES
        Adjusted Fraction of Scheduled balance outstanding

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

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