Credit: mortgage pool on a prepayment ramp
A mortgage pool on a ramping prepayment curve, where speeds build over the first thirty months before leveling off.
Every number below is checked against an independent reference implementation on every commit — period by period, and on each metric, inside a declared tolerance. See benchmark methodology.
The case
The same 30-year agency mortgage pool, but on a ramping prepayment curve: speeds build month by month over the first thirty months, then level off. A ramp is the standard market assumption for a seasoning pool.
The reference
The industry's own standard formulas for analyzing mortgage-backed securities, which define the ramp and publish a complete cash flow schedule computed on it.
Not redistributable. The publisher forbids reproduction in any form, so the source is neither vendored nor quoted; its figures are carried as anchor values and cited as facts.
Provenance. The expectations are taken from an independent published reference, cited above. The source is not committed with the case; a reader checks the asserted figures against the published document itself.
What it exercises
| Pack | credit |
| Contract types | credit.loan |
| Language features | pack contract lowering to four cash flow lines; a per-period pool factor carried as state |
| Conventions | a prepayment ramp over thirty months, CPR-to-SMM conversion, default, severity, recovery lag |
Under a changing hazard the surviving balance is a running product, and a
closed-form pow(k, p) is exact only while the rate holds still.
The result
Interest, scheduled principal, prepayments and recoveries each reproduce as their own column across the schedule.
Asserted: four stream columns at 25 anchor months, 95 cells in all.
The delta
The tolerance is 0.51 — just over half a dollar — set by the published schedule's whole-dollar rounding.
Run configuration
{
"deterministic": {
"annual_discount_rate": 0.08
}
}Verified results
Checked period by period: 4 series across 25 periods — 95 values in all, each within ±0.51 of the reference.
credit.loan.interest.acredit.loan.sched_principal.acredit.loan.prepay.acredit.loan.recoveries.a