The dv01 curve notations apply to all Prepay, DLQ and Default inputs in both Whole Loan and Securitization Cashflow engines. They are designed to be both simple and intuitive.
Define a Single Curve Value for the Duration of the Scenario
To define a single Prepay, DQ or Default curve value for the entire duration of the scenario, type in a single decimal value (the % is optional). The last value typed will be automatically applied to succeeding time periods.
Change Curve Methods
Change curve methods by typing the three-letter acronym before any numerical curve values.
- Prepay curves are default set to "CPR" but can be changed to "SMM" or "ABS".
- Default curves are set to "CDR" but can be changed to "MDR" or "ABS".
- DQ/mo is set to "% per month" and cannot be changed.
Define a Value for a Series of Successive Time Periods
To define a value for a series of successive time periods, enter a series of decimal values separated by ";".
Specify a Value to Apply to Multiple Consecutive Periods
To specify a value that should be applied for multiple consecutive periods, enter the value followed by "x" and the number of periods (months).
Enter Rising or Falling Values
We have two mechanisms for entering rising or falling values. Both positive and negative ramps work equally well and all of these mechanisms can be combined. Note that when a ramp expression follows another vector component, the starting value is optional.
To ramp a Prepay, DQ, or Default value from a starting value to an ending value over a specific number of periods, enter the starting value, the keyword "to" followed by the ending value, and the keyword "in" followed by the number of periods. The system will compute and apply an even step size.
To reach the ending value by way of a specific step size, replace the "in <#periods>" with the keyword "by" and the step size.
Options A + B:
Combine all of the above techniques by separating individual curve components with a ";" .
In the case of subsequent notations in a series, omitting the starting value will start the segment with the prior end value.
Anchor a Curve at the Date of Origination
To anchor a curve at date of origination type "ao:" followed by the curve.