Wiley - Modeling Structured Finance Cash Flows With Excel.pdf

文档介绍：Contents
Preface xi
Acknowledgments xiii
About the Author xv
Introduction 1
The Three Basic Elements of a Cash Flow Model 3
Inputs 3
Cash Flow Structure 4
Outputs 5
The Process of Building a Cash Flow Model 5
Plan and Design 5
Obtain All Necessary Information 6
Construct Basic Framework 6
Develop Advanced Structure 6
Validate Assumptions 6
Test Model 7
How This Book Is Designed 7
CHAPTER 1
Dates and Timing 9
Time Progression 9
Dates and Timing on the Inputs Sheet 10
Day-Count Systems: 30/360 versus Actual/360 versus Actual/365 11
Model Builder : Inputs Sheet—Dates and Timing 12
Dates and Timing on the Cash Flow Sheet 14
Model Builder : Cash Flow Sheet—Dates and Timing 15
Toolbox 18
Naming Cells and Ranges 18
Data Validation Lists 19
EDATE 21
v
vi CONTENTS
CHAPTER 2
Asset Cash Flow Generation 23
Loan Level versus Representative Line Amortization 23
How Asset Generation Is Demonstrated in Model Builder 27
Asset Generation on the Inputs Sheet 27
Fixed Rate Amortization Inputs 28
Floating Rate Amortization Inputs 28
Model Builder : Inputs Sheet Asset Assumptions and the Vectors Sheet 29
Asset Generation on the Cash Flow Sheet 33
Model Builder : Notional Asset Amortization on the Cash Flow Sheet 33
Toolbox 39
OFFSET 39
MATCH 40
MOD 41
PMT 41
CHAPTER 3
Prepayments 43
How Prepayments Are Tracked 43
SMM: Single Monthly Mortality 44
CPR: Conditional Prepayment Rate 44
PSA: Public Securities Association 44
ABS: Absolute Prepayment Speed 45
Historical Prepayment Data Formats 46
Building Prepayment Curves 46
Prepayment Curves in Project Model Builder 47
The Effect of Prepayments on Structured Transactions 48
Model Builder : Historical Prepayment Analysis and Creating a Projected
Prepayment Curve 48
Model Builder : Integrating Projected Prepayments in Asset Amortization 53
Toolbox 56
Weighted Averages Using SUMPRODUCT and SUM 56
CHAPTER 4
Delinqu