Calculations

A list of values for the calcs attribute that specify which metrics to create.

Usage

Calculations to be performed by the library are specified via the calcs attribute.

A very basic example:

<import path="pub.lib.ucl.v3.lib_embs_calc"/>
<insert block="embs_calc" loan_level="0" calcs="cpr"/>

Multiple calculations can be specified by placing valid values for calcs in a comma-separated list, as follows:

<import path="pub.lib.ucl.v3.lib_embs_calc"/>
<insert block="embs_calc" loan_level="0" calcs="cpr,cdr"/>

Valid values for the calcs attribute

This section provides a list of valid calculations for the embs version of the library via the calcs attribute.

cpr
Calculates the Conditional Prepayment Rate. The cpr calculation also accepts the custom input: ncpr. See the Calculation Inputs section for details on ncpr.
cdr
Calculates the Constant Default Rate. The cdr calculation also accept the custom input: ncdr. See the Calculation Inputs section for details on ncdr
surveillance
Calculates many important deal-level and pool-level metrics distributed over time to provide a complete Surveillance Report. The following list details some of the data points returned by the surveillance calculation:
  • CPR
  • CDR
  • Roll Rates (GNMA)
  • Delinquency (GNMA)
  • Top states/servicer/seller (GNMA)
  • Program/Occupancy