CLEAN
Valuation library for mortgage-backed securities
Public Member Functions | List of all members
AndrewKalotayAssociates::Clean::Mbs Class Reference

#include "andrew_kalotay_associates/clean/mbs.h"

Public Member Functions

 Mbs (const Input::Mbs &mbs)
 
Output::Price compute (const InterestRateModel &interest_rate_model, const Input::PrepaymentModelParameters &parameters, const Input::Quote &quote) const
 Calculate OAS, price, accrued interest.
 
Output::ValuationReport compute (const Input::ValuationSelection &selection, const InterestRateModel &interest_rate_model, const Input::PrepaymentModelParameters &parameters, const Input::Quote &quote) const
 Also, calculate specified risk measures.
 
void compute (Output::ValuationReport &valuation, const Input::ValuationSelection &selection, const InterestRateModel &interest_rate_model, const Input::PrepaymentModelParameters &parameters, const Input::Quote &quote) const
 Deprecated (not threadsafe)
 
double compute_homeowner_credit_spread (const InterestRateModel &interest_rate_model, const Input::PrepaymentModelParameters &parameters, const Input::Quote &quote) const
 Implied homeowner credit spread.
 
Output::CashflowReport compute_cashflows (const InterestRateModel &interest_rate_model, const Input::PrepaymentModelParameters &parameters, const Input::Quote &quote, bool smoothed=true) const
 Projected cash flows implied by prepayment model.
 
double compute_cashflow_yield (const Input::YieldParameters &yield_parameters, const InterestRateModel &interest_rate_model, const Input::PrepaymentModelParameters &parameters, const Input::Quote &quote, bool smoothed=true) const
 Yield-to-maturity using cash flows implied by prepayment model.
 
Output::YieldReport compute_yield_report (const Input::YieldParameters &yield_parameters, const InterestRateModel &interest_rate_model, const Input::PrepaymentModelParameters &parameters, const Input::Quote &quote, bool smoothed=true) const
 Also, calculate risk measures.
 

Detailed Description

Pass-through fixed rate mortgage-backed security or whole loan pool


The documentation for this class was generated from the following file: