Class ConstantCPR

Namespace

NanoQL.Extensions.Instruments

Assembly

NanoQL.Extensions.dll

A prepayment model with one conditional prepayment rate at every date.

public sealed class ConstantCPR : IPrepayModel

Inheritance

object

ConstantCPR

Implements

IPrepayModel

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

The SMM is the CPR's monthly equivalent, 1 − (1 − CPR)^(1/12) (SIFMA's Uniform Practices, Chapter SF, SF-5). A CPR outside [0, 1] is refused: SIFMA defines the rate as the fraction of a pool's outstanding balance assumed to prepay, so none outside it is one, where QLNet takes it and returns NaN above 1 and a negative SMM below 0.

Constructors

ConstantCPR(double)

Initializes a new instance of the ConstantCPR class.

public ConstantCPR(double cpr)

Parameters

cpr double

The conditional prepayment rate, an annual fraction: 0.06 for 6%.

Exceptions

ArgumentOutOfRangeException

cpr isn't in [0, 1].

Methods

GetCPR(Date)

The conditional prepayment rate at a date, an annual fraction of the outstanding balance.

public double GetCPR(Date valDate)

Parameters

valDate Date

The date.

Returns

double

The rate, a fraction in [0, 1].

GetSMM(Date)

The single monthly mortality at a date, the monthly equivalent of GetCPR(Date).

public double GetSMM(Date valDate)

Parameters

valDate Date

The date.

Returns

double

The rate, a fraction in [0, 1].