Prepayment and LoanDynamics Model Valuation Solutions

The Generic Model Class: CAdppmdl

Description

All models are derived from this class. Instances of models are created with the CAdcoSys::Adppmdl_factory() method. The model's characteristics are defined by various lists retrievable with GetList(). The standard lists are always available, along with other model specific lists, all of which are described in the default list LISTS. The standard lists include the INPUTS and RESULTS for each model, which define the parameters which can be retrieved with GetParam(). The INPUTS can be changed with SetParam(). One the model parameters have been set, calls to the PreCalc() method perform any onetime initialization, including retrieving any unsupplied but required historic data and running historic calculations. Once PreCalc() has been run, repeated calls to Forecast() can be interspersed with calls to SetParam() to modify forecast scenarios and GetParam() to retreive the results.

Methods

Construction/Destruction

virtual CAdppmdl* Duplicate() = 0;

Create an exact duplicate model instance. Copy is "deep". Useful for multi-threaded analysis.

virtual ~CAdppmdl() {};

Don't use this function! Use the CAdcoSys factory functions instead!

Parameter Manipuation

virtual const adco_cEnumeration& GetList( const char* listname = 0) = 0;

Return one of the standard or model specific lists. Default is list of lists (LISTS).

virtual adco_CParam GetParam( const adco_cEnumElem Parameter ) = 0;

Retrieve the the Parameter value from the list of INPUTS or RESULTS.

virtual adco_CParam GetParam( const char* ParamName );

Look-up the ParamName in first the RESULTS list, then the INPUTS list, then retrieve the value. Throws an element-not-found error if the ParamName is unknown.

virtual void SetParam( const adco_cEnumElem Parameter, adco_CParam Value ) = 0;

Set the specified INPUTS parameter to the supplied parameter value.

virtual void UnSetParam( const adco_cEnumElem Parameter ) = 0;

Reset the specified INPUTS parameter to its default value.

Model Execution

virtual void PreCalc() = 0;

Perform initialization for the current set of model parameters. If historic information is required but not supplied, PreCalc() attempts to retrieve it from the HistCache.

virtual void Forecast() = 0;

Run the model forecast calculation based on the current forecast inputs and tuning factors. Stepwise forecasts can be performed by manipulating the forecast_offset and forecast_months standard inputs between multiple calls to forecast().

Details

Standard Lists

LISTS - List of all known lists for the model.
INPUTS - List of all modifiable input parameters.
RESULTS - List of all model output parameters.
NOTICES - Dynamic List of non-fatal errors that occured during PreCalc() or Forecast(). The list is cleared each at the beginning of each PreCalc() or Forecast() call.

Model Parameters

Parameters have a name, a descriptive string, and a Type. The Type is an element of the valid adco_CParam Types unless the the expected Parameter Type is ENUM, in which case the Type is an element of the LISTS list. You can then do a GetList to retrieve the list valid parameter values.

Model Parameters