Summary

The AFT Prepayment Library consists of a collection of procedural functions and data structures; it is written in ANSI C++ with selected interfaces written in ANSI C.

The primary output of the prepay library is an array of projected prepayment speeds calculated by the library based on detailed inputs you supply. The prepayment speeds are expressed as single month mortality rates (SMMs).

The library is used in situations where prepayment projections are required.  In addition, parts of the library are used in cases where OAS-based calculations (calculations that depend on expected cash flows) for MBS and related securities are sought. The latter use is augmented by AFT's MBS Calculator Library.

Basic Use

The basic steps for using the library are as follows:

• Supply interest rate projections by populating input data structure EspPrepayProjStruct.
• Describe the mortgage collateral by populating input data structure EspMortgageCollatDescStruct.
• Invoke the prepayment model by calling the function EspPrep_PrepayModelMThread.

Notes

• The user is responsible for allocating sufficient memory for each of the input structures.
• The user is responsible for allocating sufficient memory for the output array.
• The size of the output array of SMMs must be equal to the remaining term of the mortgage or pool.

About This Document

This document provides detailed information describing the principal components of the library.  Individual sections are devoted to data structures, functions, and AFT defined constants. In addition, sample programs are included that illustrate use of the library. After reviewing this material, you should be able to integrate the library into your application or system.  (Note: you may also wish to review the C-language header file esp_defs.h for more information.)

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