CLEAN
Valuation library for mortgage-backed securities
Documentation

Version: 6.3.4
Date: 20210730
Copyright (c) 2021, Andrew Kalotay Associates. All rights reserved.

Change Log

Getting Started

Java API documentation

Description

A fast accurate library for computing valuation and risk measures of pass-through MBS using the patented CLEAN prepayment model

Security Coverage

  • Fixed coupon pass-through MBS

Functions

  • Standard measures
    • Yield
    • Modified duration and convexity
    • Expected life
    • Accrued interest
    • Cash flows
  • OAS measures using prepayment model
    • OAS
    • Effective duration and convexity
    • OAS duration and convexity
    • Partial durations
    • Expected life
    • Volatility risk
    • Expected prepayment speeds

Technical specifications

  • Available as shared library on following platforms
    • 64-bit Windows DLL
    • 64-bit Linux
    • 64-bit Mac OS X
  • C++, Java, C# API's
  • Threadsafe
  • Written in C++