AFT MBS and Prepayment Library - Constants
Summary
This page lists the defined strings used by the library that have been implemented as precompiler directives.
Use
Certain of the strings are used only by the prepayment model, others only by the OAS calculator, and still others used by both components of the AFT library. The strings are listed below grouped according to the topic or features to which they most closely relate.
In addition, this page contains all of the defined strings on a single page. Use the search function of your brower to quickly locate an item.
The groups of defined strings are:
- Accrual - accumulation and recognition rules
- Agency - GSE and private originator identifiers
- Calculations - calculation parameters, limits and settings
- Day count - calendar descriptions
- Dollar roll - dollar roll and forward drop choices
- General - general use items
- Indexes - index descriptions and sources
- IRP - interest rate process parameters
- Mortgage rates - rate descriptions and sources
- Options - calculation parameters and assumptions
- Prepayment - prepayment model, constraints and assumptions
- Reinvestment - total return assumptions
- SCORE - AFT's loan, pool and deal scoring mechanism
- Securities - asset classes and types
- Volatility - volatility parameters
String
Value
ACCRUE_30_360
2
ACCRUE_30_360_EURO
3
ACCRUE_30_365
5
ACCRUE_ACTUAL_360
4
ACCRUE_ACTUAL_365
1
ACCRUE_ACTUAL_ACTUAL
0
ACCRUE_ACTUAL_ACTUAL_ANNUAL
10
ACCRUE_ACTUAL_ACTUAL_SEMI_ANNUAL
9
ACCRUE_DEFAULT
6
ACCRUE_ISSUED_ON_DISCOUNT_BASIS_360_DAY_YEAR
8
ACCRUE_ISSUED_ON_DISCOUNT_BASIS_365_DAY_YEAR
7
ACCRUE_OTHER
-99
ACCRUE_PAYABLE_AT_MATURITY
11
ACCRUE_PAYABLE_AT_MATURITY_30_360
14
ACCRUE_PAYABLE_AT_MATURITY_30_365
16
ACCRUE_PAYABLE_AT_MATURITY_ACTUAL_360
15
ACCRUE_PAYABLE_AT_MATURITY_ACTUAL_365
13
ACCRUE_PAYABLE_AT_MATURITY_ACTUAL_ACTUAL
12
String
Value
ESPAGENCY_FHLMC
4
ESPAGENCY_FHLMC_GOLD
3
ESPAGENCY_FNMA
0
ESPAGENCY_GN2
5
ESPAGENCY_GNMA
1
ESPAGENCY_HEL_COUNTRYWIDE
7
ESPAGENCY_HEL_PRUHOME
6
ESPAGENCY_RELO
8
ESPAGENCY_USE_STRING_NAME
-1001
ESPAGENCY_WL
2
NUMBER_OF_DEFINED_ESP_AGENCIES
9
String
Value
ADD_CURRENT_CASHFLOW_TO_BACKWARD_NPV_FLAG
0
DEFAULT_RANDOM_SEED
41
DEFAULT_YIELD_CURVE_SHIFT_MAGNITUDE_USED_IN_CALCULATING_DURATION
25
DOLLAR_ROLL_CALC_FUTURE_PRICE
1
DOLLAR_ROLL_CALC_PREPAY_MULTIPLIER
4
DOLLAR_ROLL_CALC_PREPAY_SPEED
3
DOLLAR_ROLL_CALC_PRESENT_PRICE
0
ESP_CMO_DEAL_MODE_FOR_CF_GENERATING_IS_BY_COLLATERAL_GROUP
-1112
ESP_CMO_DEAL_MODE_FOR_CF_GENERATING_IS_DOMINANT_COLLATERAL
-1111
ESP_DO_SHORT_AND_LONG_TERM_DYNAMIC_PREPAY_ADJUSTMENT_FROM_MBS_HISTORY
2
ESP_DO_SHORT_TERM_DYNAMIC_PREPAY_ADJUSTMENT_FROM_MBS_HISTORY
1
ESP_IGNORE_PREPAYMENT_PENALTY
0
Esp_Lib_API_Esp2FacIRP_ConstructTree_Output_Data_Array_Length
6
Esp_MBS_Prepay_Model_Type_Identification_Token_Length
6
ESP_NO_DYNAMIC_PREPAY_ADJUSTMENT_FROM_MBS_HISTORY
0
ESP_PPM_INPUT_MTG_RATES_ARE_CURRENT_COUPON_RATES
20
ESP_PPM_INPUT_MTG_RATES_ARE_CURRENT_COUPON_RATES_PLUS_SPREADS_FROM_MORT30
22
ESP_PPM_INPUT_MTG_RATES_ARE_FNCR
0
ESP_PPM_INPUT_MTG_RATES_ARE_FNCR_USE_PARAM_FILE_TO_ADJ_SPREAD
1
ESP_PPM_INPUT_MTG_RATES_ARE_MBA_SURVEY_RATES
10
ESP_PPM_INPUT_MTG_RATES_ARE_TREASURY_RATES
21 (not yet implemented)
ESP_PPM_INPUT_MTG_RATES_ARE_TREASURY_RATES_PLUS_SPREADS_FROM_MORT30
23
FIT_PREPAY_MULTIPLIERS_BY_EQUAL_TO_TARGET_OAS
1
FIT_PREPAY_MULTIPLIERS_BY_EQUALIZING_OAS
0
HORIZON_IS_SHOCK_TO_YIELD_CURVE
1
HORIZON_REPRICING_BY_SPREAD_TO_CURVE_POINT
3
HORIZON_REPRICING_BY_SPREAD_TO_WAL
2
HORIZON_REPRICING_BY_ZVOAS
3
LOAD_AND_CALC_OPTIONS_APPLY_PREPAY_PENALTY_PREPAY_AND_CF
(OPTIONS_LONG64_ONE << 1)
LOAD_AND_CALC_OPTIONS_APPLY_PREPAY_PENALTY_PREPAY_ONLY
(OPTIONS_LONG64_ONE)
LOAD_AND_CALC_OPTIONS_ARM_RESET_DETAILS
(OPTIONS_LONG64_ONE << 2)
LOAD_AND_CALC_OPTIONS_CALL_ARM_CF_AT_RESET
(OPTIONS_LONG64_ONE << 12)
LOAD_AND_CALC_OPTIONS_CMO_CF_MODE_COLLAT_AVG
(OPTIONS_LONG64_ONE << 5)
LOAD_AND_CALC_OPTIONS_CMO_CF_MODE_COLLAT_CLUSTER
(OPTIONS_LONG64_ONE << 7)
LOAD_AND_CALC_OPTIONS_CMO_CF_MODE_COLLAT_DOMINANT
(OPTIONS_LONG64_ONE << 8)
LOAD_AND_CALC_OPTIONS_CMO_CF_MODE_COLLAT_EXPLODE
(OPTIONS_LONG64_ONE << 6)
LOAD_AND_CALC_OPTIONS_CMO_EMBEDDED_OPTION_ALWAYS_EXCERCISE
(OPTIONS_LONG64_ONE << 10)
LOAD_AND_CALC_OPTIONS_CMO_EMBEDDED_OPTION_IGNORE
(OPTIONS_LONG64_ONE << 9)
LOAD_AND_CALC_OPTIONS_CMO_TRADING_ACCURACY
(OPTIONS_LONG64_ONE << 11)
LOAD_AND_CALC_OPTIONS_LOAD_PREPAY_SCORE
(OPTIONS_LONG64_ONE << 4)
LOAD_AND_CALC_OPTIONS_USE_POST_SETTLE_DATE_CDU_FILES
(OPTIONS_LONG64_ONE << 3)
MAX_MORTGAGE_TERM_IN_MONTH
481
MBS_YIELD_TO_MATURITY_TYPE
0
MBS_YIELD_TO_NEXT_CALL_TYPE
1
MBS_YIELD_TO_OPTION
3
MBS_YIELD_TO_WORST_TYPE
2
PREVIOUS_ALLOWED_MAXIMUM_NUMBER_OF_POINTS_ON_YIELD_CURVE
63
TAKE_EXERCISE_GENERATED_CASHFLOW_NO_MATTER_WHAT_FLAG
2
TAKE_LARGER_ONE_OF_BACKWARD_NPV_AND_EXERCISE_GENERATED_CASHFLOW_FLAG
1
TAKE_SMALLER_ONE_OF_BACKWARD_NPV_AND_EXERCISE_GENERATED_CASHFLOW_FLAG
-1
TTR_FORWARD_PROJECTION_CONST
0
TTR_FORWARD_PROJECTION_IMPLIED
1
USE_CMT_TO_DISCOUNT
1
USE_EURODOLLAR_FUTURE_TO_DISCOUNT
2
USE_LIBOR_TO_DISCOUNT
0
String
Value
DATE_CALC_METHOD_BANKERS_DAY
0
DATE_CALC_METHOD_FIXED_DAY
2
DATE_CALC_METHOD_LAST_DAY_OF_MONTH
3
DATE_CALC_METHOD_OTHER
4
DATE_CALC_METHOD_WEEKEND_HOLIDAY_EXCLUDED
1
String
Value
DEFAULT_DIRECTORY
"espiel"
DEFAULT_ESPIEL_ERROR_MESSAGE_BUFFER_SIZE
200
ESP_ERROR_CODE_FOR_FAILURE_OF_READING_DEFAULT_MODEL_PARAMETER_FILES
1109
ESP_GENERIC_CMO_DATA_PATH_DIRECTORY_LENGTH
200
ESP_GENERIC_CMO_DEAL_NAME_LENGTH
40
ESP_GENERIC_CMO_TRANCHE_NAME_LENGTH
20
ESP_GENERIC_MBS_COLLATERAL_AGENCY_NAME_LENGTH
40
ESP_GENERIC_MBS_CUSIP_OR_ID_LENGTH
20
ESP_GENERIC_MBS_ISSUER_NAME_LENGTH
200
ESP_GENERIC_PREPAYMENT_MODEL_PARAMETER_PATH_DIRECTORY_LENGTH
200
MAX_LINEWIDTH
480
MAX_STRING_LENGTH_FOR_TICKERS
20
MAX_YYYYMM
999999
MAX_YYYYMMDD
99999999
MIN_YYYYMM
190101
MIN_YYYYMMDD
19010101
ROOT_FINDING_PRECISION
1.0e-05
String
Value
DEFAULT_INDEX_LOOKBACK_DAYS
45
ESP_INDEX_BANKERS_ACCEPTANCE
34
ESP_INDEX_CD03MO
44
ESP_INDEX_CD06MO
11
ESP_INDEX_COF11
5
ESP_INDEX_COMMERCIAL_PAPER
35
ESP_INDEX_CONTRACT
13
ESP_INDEX_EFF_MTGE_RT_15YR
41
ESP_INDEX_EFF_MTGE_RT_30YR
40
ESP_INDEX_EFF_MTGE_RT_5YR
43
ESP_INDEX_EFF_MTGE_RT_7YR
42
ESP_INDEX_FEDFUND
4
ESP_INDEX_LIBOR01MO
6
ESP_INDEX_LIBOR02YR
26
ESP_INDEX_LIBOR03MO
7
ESP_INDEX_LIBOR03YR
27
ESP_INDEX_LIBOR04YR
28
ESP_INDEX_LIBOR05YR
29
ESP_INDEX_LIBOR06MO
8
ESP_INDEX_LIBOR07YR
30
ESP_INDEX_LIBOR10YR
31
ESP_INDEX_LIBOR12MO
9
ESP_INDEX_LIBOR20YR
32
ESP_INDEX_LIBOR30YR
33
ESP_INDEX_MONEY_MARKET
12
ESP_INDEX_MTGE_RT_15YR
37
ESP_INDEX_MTGE_RT_30YR
36
ESP_INDEX_MTGE_RT_5YR
39
ESP_INDEX_MTGE_RT_7YR
38
ESP_INDEX_NCOFI
10
ESP_INDEX_OTHER
14
ESP_INDEX_PRIME
3
ESP_INDEX_STEP_UP_DOWN
-1
ESP_INDEX_TR01MO
16
ESP_INDEX_TR02YR
17
ESP_INDEX_TR03MO
0
ESP_INDEX_TR03YR
18
ESP_INDEX_TR04YR
19
ESP_INDEX_TR05YR
20
ESP_INDEX_TR06MO
1
ESP_INDEX_TR07YR
21
ESP_INDEX_TR10YR
22
ESP_INDEX_TR12MO
2
ESP_INDEX_TR20YR
23
ESP_INDEX_TR30YR
24
ESP_INDEX_YEN_EXCH_RATE
15
LIBOR_INDEX_FLAG
-999
TREASURY_INDEX_FLAG
999
String
Value
USE_IR_MODEL_FITTED_TO_AGENCY
3
USE_IR_MODEL_FITTED_TO_CMT
1
USE_IR_MODEL_FITTED_TO_EURODOLLAR_FUTURE
2
USE_IR_MODEL_FITTED_TO_LIBOR
0
USE_SAME_DISCOUNT_CURVE_AS_RELEVANT_INDEX_OF_SECURITY
-1
String
Value
MORTGAGE_RATE_FORMULA1_DEFINITION_FILE
"mratef1.def"
MORTGAGE_RATE_FORMULA2_DEFINITION_FILE
"mratef1.def"
MORTGAGE_RATE_IS_CMT_PLUS_SPREAD
1
MORTGAGE_RATE_IS_CMT_ZERO_VAL_BASED
4
MORTGAGE_RATE_IS_DETERMINED_BY_FORMULA1
2
MORTGAGE_RATE_IS_DETERMINED_BY_FORMULA2
3
MORTGAGE_RATE_IS_LIBOR_PLUS_SPREAD
0
MORTGAGE_RATE_IS_LIBOR_ZERO_VAL_BASED
5
String
Value
BOND_OPTION_EUROPEAN_CALL_TYPE
0
BOND_OPTION_AMERICAN_CALL_TYPE
1
BOND_OPTION_MANDATORY_SINKING_FUND_TYPE
2
BOND_OPTION_OTHER_TYPE
3
OPTIONS_LONG64_ONE
((_LONG64)1)
OPTIONS_ACCRUED_PAR100
(OPTIONS_STATIC_YIELD_PERCENT << 21)
OPTIONS_ADJUSTED_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 39)
OPTIONS_AVE_LIFE_YEAR
(OPTIONS_STATIC_YIELD_PERCENT << 16)
OPTIONS_BLACK_VOLATILITY_PERCENT
(OPTIONS_STATIC_YIELD_PERCENT << 36)
OPTIONS_BOOK
(OPTIONS_STATIC_YIELD_PERCENT << 41)
OPTIONS_BURNOUT_PREPAY_CONVEXITY
(OPTIONS_STATIC_YIELD_PERCENT << 15)
OPTIONS_BURNOUT_PREPAY_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 14)
OPTIONS_CONVEXITY
(OPTIONS_STATIC_YIELD_PERCENT << 6)
OPTIONS_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 5)
OPTIONS_DV01
(OPTIONS_STATIC_YIELD_PERCENT << 40)
OPTIONS_EFFECTIVE_MARGIN_PERCENT
(OPTIONS_STATIC_YIELD_PERCENT << 20)
OPTIONS_FIRST_OPTION_EXERCISE_DATE
(OPTIONS_STATIC_YIELD_PERCENT << 34)
OPTIONS_FORWARD_DROP
(OPTIONS_STATIC_YIELD_PERCENT << 28)
OPTIONS_HS_PREPAY_CONVEXITY
(OPTIONS_STATIC_YIELD_PERCENT << 11)
OPTIONS_HS_PREPAY_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 10)
OPTIONS_MACAULAY_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 17)
OPTIONS_MODIFIED_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 18)
OPTIONS_MORTGAGE_SPREAD_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 35)
OPTIONS_OAS
(OPTIONS_STATIC_YIELD_PERCENT << 2)
OPTIONS_OAS_CHANGE_OF_32ND_PRICE
(OPTIONS_STATIC_YIELD_PERCENT << 30)
OPTIONS_OAS_SPREAD_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 19)
OPTIONS_OPTION_ADJUSTED_YIELD_PERCENT
(OPTIONS_STATIC_YIELD_PERCENT << 26)
OPTIONS_OPTION_COST_BP
(OPTIONS_STATIC_YIELD_PERCENT << 3)
OPTIONS_PRICE
(OPTIONS_STATIC_YIELD_PERCENT << 4)
OPTIONS_PRICE_AT_OAS_EQUAL_TO_ZERO
(OPTIONS_STATIC_YIELD_PERCENT << 37)
OPTIONS_PRICE_CHANGE_OF_ONE_BP_OAS
(OPTIONS_STATIC_YIELD_PERCENT << 29)
OPTIONS_RF_PREPAY_CONVEXITY
(OPTIONS_STATIC_YIELD_PERCENT << 13)
OPTIONS_RF_PREPAY_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 12)
OPTIONS_SPREAD_ON_THE_RUN
(OPTIONS_STATIC_YIELD_PERCENT << 33)
OPTIONS_STATIC_CONVEXITY
(OPTIONS_STATIC_YIELD_PERCENT << 32)
OPTIONS_STATIC_YIELD_PERCENT
OPTIONS_LONG64_ONE
OPTIONS_STATIC_YIELD_TO_CALL_PERCENT
(OPTIONS_STATIC_YIELD_PERCENT << 23)
OPTIONS_STATIC_YIELD_TO_MATURITY_PERCENT
(OPTIONS_STATIC_YIELD_PERCENT << 25)
OPTIONS_STATIC_YIELD_TO_WORST_PERCENT
(OPTIONS_STATIC_YIELD_PERCENT << 24)
OPTIONS_TOTAL_PREPAY_CONVEXITY
(OPTIONS_STATIC_YIELD_PERCENT << 9)
OPTIONS_TOTAL_PREPAY_DURATION
(OPTIONS_STATIC_YIELD_PERCENT << 8)
OPTIONS_VALUE_OF_CAP
(OPTIONS_STATIC_YIELD_PERCENT << 42)
OPTIONS_VALUE_OF_FLOOR
(OPTIONS_STATIC_YIELD_PERCENT << 43)
OPTIONS_VEGA
(OPTIONS_STATIC_YIELD_PERCENT << 38)
OPTIONS_WAL_SPREAD_BP
(OPTIONS_STATIC_YIELD_PERCENT << 22)
OPTIONS_WALA_EQV_CPR
(OPTIONS_STATIC_YIELD_PERCENT << 7)
OPTIONS_YIELD_TO_PUT_PERCENT
(OPTIONS_STATIC_YIELD_PERCENT << 27)
OPTIONS_ZERO_OAS
(OPTIONS_STATIC_YIELD_PERCENT << 1)
OPTIONS_ZERO_OPTION_ADJUSTED_YIELD_PERCENT
(OPTIONS_STATIC_YIELD_PERCENT << 31)
String
Value
CALC_LIFE_EQUIV_ABS
12
CALC_LIFE_EQUIV_CPR
1
CALC_LIFE_EQUIV_HEP
11
CALC_LIFE_EQUIV_MHP
10
CALC_LIFE_EQUIV_PSA
0
CALC_LIFE_EQUIV_SMM
2
CALC_USE_ESPIEL_MODEL
3
CONST_ABS
12
CONST_CPB
21
CONST_CPR
1
CONST_HEP
11
CONST_MHP
10
CONST_PPC
17
CONST_PSA
0
ESP_MAX_VALUE_EXCLUSIVE_FOR_PREPAY_METHOD_FLAG
256
ESP_PP_OPTIMIZE_LEVEL_1
-1002
ESP_PP_OPTIMIZE_LEVEL_2
-1004
ESP_PP_OPTIMIZE_LEVEL_3
-1006
ESP_PP_OPTIMIZE_LEVEL_4_CALC_ONLY_3_MONTHS_AFTER_SETTLEMENT
-1024
ESP_PP_OPTIMIZE_LEVEL_NONE
0
ESP_PP_SAME_SCENARIO_OPTIMIZE_LEVEL_1
1002
ESP_PP_SAME_SCENARIO_OPTIMIZE_LEVEL_2
1004
ESP_PP_SAME_SCENARIO_OPTIMIZE_LEVEL_3
1006
VECTOR_ABS
112
VECTOR_CPR
101
VECTOR_HEP
111
VECTOR_MHP
110
VECTOR_PSA
100
VECTOR_SMM_PCT
2
VECTOR_SMM_PCT_FIRST_THEN_USE_ESPIEL_MODEL
102
String
Value
REINVESTMENT_VECTOR_IS_SPREAD_TO_LIBOR_01_MO
10
REINVESTMENT_VECTOR_IS_SPREAD_TO_LIBOR_03_MO
11
REINVESTMENT_VECTOR_IS_SPREAD_TO_LIBOR_06_MO
12
REINVESTMENT_VECTOR_IS_SPREAD_TO_LIBOR_12_MO
13
REINVESTMENT_VECTOR_IS_SPREAD_TO_LIBOR_120_MO
16
REINVESTMENT_VECTOR_IS_SPREAD_TO_LIBOR_240_MO
17
REINVESTMENT_VECTOR_IS_SPREAD_TO_LIBOR_36_MO
14
REINVESTMENT_VECTOR_IS_SPREAD_TO_LIBOR_360_MO
18
REINVESTMENT_VECTOR_IS_SPREAD_TO_LIBOR_60_MO
15
REINVESTMENT_VECTOR_IS_SPREAD_TO_TREASURY_01_MO
1
REINVESTMENT_VECTOR_IS_SPREAD_TO_TREASURY_03_MO
2
REINVESTMENT_VECTOR_IS_SPREAD_TO_TREASURY_06_MO
3
REINVESTMENT_VECTOR_IS_SPREAD_TO_TREASURY_12_MO
4
REINVESTMENT_VECTOR_IS_SPREAD_TO_TREASURY_120_MO
7
REINVESTMENT_VECTOR_IS_SPREAD_TO_TREASURY_240_MO
8
REINVESTMENT_VECTOR_IS_SPREAD_TO_TREASURY_36_MO
5
REINVESTMENT_VECTOR_IS_SPREAD_TO_TREASURY_360_MO
9
REINVESTMENT_VECTOR_IS_SPREAD_TO_TREASURY_60_MO
6
String
Value
ESP_PREPAYMENT_AVG_SCORE
500
ESP_PREPAYMENT_SCORE_NONE
-1
MAX_ESP_PREPAYMENT_SCORE
5000
MAX_ESP_PREPAYMENT_SCORE_ELBOW
575
MIN_ESP_PREPAYMENT_SCORE
0
MIN_ESP_PREPAYMENT_SCORE_ELBOW
200
String
Value
ESP_AMERICAN_OPTION_TYPE
1
ESP_EUROPEAN_OPTION_TYPE
0
ESP_MANDATORY_SINKING_OPTION_TYPE
2
ESP_MBS_TYPE_ARM_CMO
3
ESP_MBS_TYPE_ARM_PASSTHROUGH
1
ESP_MBS_TYPE_CMO_DONT_UPDATE_COLLAT_FROM_CMO_VENDOR
-2
ESP_MBS_TYPE_CMO_DONT_UPDATE_COLLAT_FROM_CMO_VENDOR_AND_DONT_PARSE_DEAL
-3
ESP_MBS_TYPE_FRM_CMO
2
ESP_MBS_TYPE_FRM_CMO_INTERPRET_YIELD_AS_YIELD_TO_CALL
22
ESP_MBS_TYPE_FRM_CMO_INTERPRET_YIELD_AS_YIELD_TO_MATURITY
21
ESP_MBS_TYPE_FRM_CMO_INTERPRET_YIELD_AS_YIELD_TO_WORST
23
ESP_MBS_TYPE_FRM_PASSTHROUGH
0
String
Value
_ESP_LIBOR_MARKET_VOLATILITY_ANGLE_PHI_FLAG
12
_ESP_LIBOR_MARKET_VOLATILITY_ANGLE_PHI_SKEW_FLAG
13
_ESP_LIBOR_MARKET_VOLATILITY_CEV_POWER_FLAG
11
_ESP_LIBOR_MARKET_VOLATILITY_MAGNITUDE_FLAG
10
_NONE_VOLATILITY_FLAG
-1
_SHORT_RATE_MEAN_REVERSION_FLAG
1
_SHORT_RATE_VOLATILITY_FLAG
0
_SLOPE_MEAN_REVERSION_FLAG
3
_SLOPE_VOLATILITY_FLAG
2