A price/yield table can be reconfigured by specifying different inputs and outputs. For example, Table 5.13 has two inputs: tranches vs. losses, and three outputs: WAL, yield, and price. Generalize your previous implementation to allow rearranging these parameters. Out of the three inputs (tranches, losses, CPR), one must be held constant and the others varied.
TABLE 5.13 Price/Yield Table (Tranche vs. Loss Rate)
|
0% Loss |
5% Loss |
10% Loss |
||
|
Al |
Avg Life |
1.67 |
1.64 |
1.61 |
|
Yield |
1.336% |
1.336% |
1.336% |
|
|
Price |
100.00 |
100.00 |
100.00 |
|
|
Ml |
Avg Life |
4.31 |
4.05 |
3.95 |
|
Yield |
1.637% |
1.637% |
1.637% |
|
|
Price |
100.00 |
100.00 |
100.00 |
|
|
BI |
Avg Life |
7.06 |
6.50 |
7.23 |
|
Yield |
3.336% |
3.324% |
3.452% |
|
|
Price |
100.00 |
100.00 |
100.00 |