Work/cashflow/CASHFLOW.CPP

#include <cashflow/cashflow.hpp>

WORD CashFlow::generateCashFlows(const PurePassThru &purePassThru,Block<PureCashFlow> &cashFlows)
{
	double issBal(purePassThru.issBal());
	double tempCPR;
	short actualMonth;
	short indexFlows;

	cashFlows.remove();
	indexFlows=cashFlows.size();
	cashFlows.insert(&PureCashFlow());
	for(short wam=purePassThru.wam();wam>0&&issBal>0.00;wam--)
	{
		actualMonth=(purePassThru.origTerm()-wam)+1;
		if(actualMonth<=30)tempCPR=.002*(double)actualMonth;
		else tempCPR=.06;
		cashFlows[indexFlows].beginBal(issBal);
		cashFlows[indexFlows].smm(1.00-::pow(1.00-(tempCPR*purePassThru.psa()/100.00),1.00/12.00));
		if(!indexFlows)
		{
		  cashFlows[indexFlows].mtgPay((issBal*(purePassThru.wac()/1200.00))/
			  (1.00-::pow(1.00/(1.00+(purePassThru.wac()/1200.00)),(double)wam)));
		}
		else cashFlows[indexFlows].mtgPay(cashFlows[indexFlows-1].mtgPay());
		if(issBal<=cashFlows[indexFlows].mtgPay())cashFlows[indexFlows].mtgPay(issBal);
		cashFlows[indexFlows].netIntPay(issBal*(purePassThru.coupon()/1200.00));
		if(!indexFlows)cashFlows[indexFlows].grossIntPay(cashFlows[indexFlows].netIntPay());
		else cashFlows[indexFlows].grossIntPay(cashFlows[indexFlows-1].grossIntPay()+cashFlows[indexFlows].netIntPay());
		cashFlows[indexFlows].schedPrinPay(cashFlows[indexFlows].mtgPay()-cashFlows[indexFlows].netIntPay());
		cashFlows[indexFlows].prepayment(0.00);
		cashFlows[indexFlows].totPrin(cashFlows[indexFlows].schedPrinPay()+cashFlows[indexFlows].prepayment());
		cashFlows[indexFlows].cashFlow(cashFlows[indexFlows].netIntPay()+cashFlows[indexFlows].totPrin());
		cashFlows[indexFlows].factor(issBal/purePassThru.issBal());
		issBal-=cashFlows[indexFlows].totPrin();
		indexFlows=cashFlows.size();
		if(1!=wam&&issBal>0.00)cashFlows.insert(&PureCashFlow());
	}
	return cashFlows.size();
}

WORD CashFlow::generateCashFlows(const PurePassThru &purePassThru,Block<PureCashFlow> &cashFlows,PrePay prePay)
{
	double issBal(purePassThru.issBal());
	double tempCPR;
	short actualMonth;
	short indexFlows;

	cashFlows.remove();
	indexFlows=cashFlows.size();
	cashFlows.insert(&PureCashFlow());
	for(short wam=purePassThru.wam();wam>0&&issBal>0.00;wam--)
	{
		actualMonth=(purePassThru.origTerm()-wam)+1;
		if(actualMonth<=30)tempCPR=.002*(double)actualMonth;
		else tempCPR=.06;
		cashFlows[indexFlows].beginBal(issBal);
		cashFlows[indexFlows].smm(1.00-::pow(1.00-(tempCPR*purePassThru.psa()/100.00),1.00/12.00));
		if(!indexFlows)cashFlows[indexFlows].mtgPay((issBal*(purePassThru.wac()/1200.00))/
			(1.00-::pow(1.00/(1.00+(purePassThru.wac()/1200.00)),(double)wam)));
		else cashFlows[indexFlows].mtgPay(cashFlows[indexFlows-1].mtgPay());
		if(issBal<=cashFlows[indexFlows].mtgPay())cashFlows[indexFlows].mtgPay(issBal);
		cashFlows[indexFlows].netIntPay(issBal*(purePassThru.coupon()/1200.00));
		if(!indexFlows)cashFlows[indexFlows].grossIntPay(cashFlows[indexFlows].netIntPay());
		else cashFlows[indexFlows].grossIntPay(cashFlows[indexFlows-1].grossIntPay()+cashFlows[indexFlows].netIntPay());
		cashFlows[indexFlows].schedPrinPay(cashFlows[indexFlows].mtgPay()-cashFlows[indexFlows].netIntPay());
		cashFlows[indexFlows].prepayment(prePay.amount());
		prePay.period(prePay.period()+1);
		if(prePay.period()>prePay.frequency())
		{
			prePay.amount(prePay.amount()+prePay.increment());
      prePay.period(1);
		}
		cashFlows[indexFlows].totPrin(cashFlows[indexFlows].schedPrinPay()+cashFlows[indexFlows].prepayment());
		cashFlows[indexFlows].cashFlow(cashFlows[indexFlows].netIntPay()+cashFlows[indexFlows].totPrin());
		cashFlows[indexFlows].factor(issBal/purePassThru.issBal());
		issBal-=cashFlows[indexFlows].totPrin();
		indexFlows=cashFlows.size();
		if(1!=wam&&issBal>0.00)cashFlows.insert(&PureCashFlow());
	}
	return cashFlows.size();
}

WORD CashFlow::convergePSA(PurePassThru &purePassThru,double convergeFactor,double issueBal,short runMonths)
{
	double cashFlowFactor;
	double smallestDiff(999);
	double tempDiff;
	short closestPSA;

	for(short psaValue=MinPSA;psaValue<MaxPSA;psaValue++)
	{
		purePassThru.psa(psaValue);
		cashFlowFactor=factorFlows(purePassThru,issueBal,runMonths);
		tempDiff=convergeFactor-cashFlowFactor;
		if(tempDiff<0.00)tempDiff*=-1.00;
		if(tempDiff<smallestDiff){smallestDiff=tempDiff;closestPSA=psaValue;}
	}
	return closestPSA;
}

WORD CashFlow::binaryPartitionPSA(PurePassThru &purePassThru,double convergeFactor,double issueBal,short runMonths)
{
	double cashFlowFactor;
	short psaFloor(MinPSA);
	short psaCeiling(MaxPSA);
	short psaCurr(MaxPSA/2);
	short newCurr;
	double threshold(.000025);

	while(TRUE)
	{
		purePassThru.psa(psaCurr);
		cashFlowFactor=factorFlows(purePassThru,issueBal,runMonths);
		if(cashFlowFactor-threshold<=convergeFactor&&cashFlowFactor+threshold>=convergeFactor)return psaCurr;
		if(cashFlowFactor>convergeFactor)
		{
			psaFloor=psaCurr;
			newCurr=(psaCeiling+psaFloor)/2;
		}
		else
		{
			psaCeiling=psaCurr;
			newCurr=(psaFloor+psaCeiling)/2;
		}
		if(newCurr==psaCurr)return psaCurr;
		psaCurr=newCurr;
	}
}

double CashFlow::factorFlows(const PurePassThru &purePassThru,double issueBalance,short runMonths)
{
  double issBal(purePassThru.issBal());
	Block<PureCashFlow> cashFlows;
  double tempCPR;
	short actualMonth;
  short indexFlows;

  indexFlows=cashFlows.size();
	cashFlows.insert(&PureCashFlow());
	for(short wam=purePassThru.wam();wam>=purePassThru.wam()-runMonths;wam--)
	{
		actualMonth=(purePassThru.origTerm()-wam)+1;
		if(actualMonth<=30)tempCPR=.002*(double)actualMonth;
		else tempCPR=.06;
		cashFlows[indexFlows].beginBal(issBal);
		cashFlows[indexFlows].smm(1.00-::pow(1.00-(tempCPR*purePassThru.psa()/100.00),1.00/12.00));
		cashFlows[indexFlows].mtgPay((issBal*(purePassThru.wac()/1200.00))/
			(1.00-::pow(1.00/(1.00+(purePassThru.wac()/1200.00)),(double)wam)));
		cashFlows[indexFlows].netIntPay(issBal*(purePassThru.coupon()/1200.00));
		cashFlows[indexFlows].grossIntPay(issBal*(purePassThru.wac()/1200.00));
		cashFlows[indexFlows].schedPrinPay(cashFlows[indexFlows].mtgPay()-cashFlows[indexFlows].grossIntPay());
		cashFlows[indexFlows].prepayment(cashFlows[indexFlows].smm()*(issBal-cashFlows[indexFlows].schedPrinPay()));
		cashFlows[indexFlows].totPrin(cashFlows[indexFlows].schedPrinPay()+cashFlows[indexFlows].prepayment());
		cashFlows[indexFlows].cashFlow(cashFlows[indexFlows].netIntPay()+cashFlows[indexFlows].totPrin());
		cashFlows[indexFlows].factor(issBal/issueBalance);
		issBal-=cashFlows[indexFlows].totPrin();
		indexFlows=cashFlows.size();
		if(1!=wam)cashFlows.insert(&PureCashFlow());
	}
  return cashFlows[runMonths].factor();
}