Finance Programming Excel for fixed income

DollarRollTemplate1.xlsx

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Reinv Rate		Scheduled Balance John P. Miller: John P. Miller: End of month scheduled balance
Net		Sch Principal Pmt John P. Miller: John P. Miller: Difference between balance and scheduled balance
WAC John P. Miller: John P. Miller: Bloomberg calls this Gross		John P. Miller: John P. Miller: End of month scheduled balance	Loan Age John P. Miller: John P. Miller: Use 360 - WAM + 1 for front month
WAM		PSA
Front Cpn Date John P. Miller: John P. Miller: First day of front month, used for AI calculation		John P. Miller: John P. Miller: Difference between balance and scheduled balance	CPR
Back Cpn Date John P. Miller: John P. Miller: First day of back month, used in AI calculation		John P. Miller: John P. Miller: Use 360 - WAM + 1 for front month	SMM
Settle Date		Prepayment John P. Miller: John P. Miller: Amount prepaid
Forward Date		Total Principal John P. Miller: John P. Miller: Total of sch and pp
Front Accrue Days		Interest John P. Miller: John P. Miller: Cpn Int for first month
Back Accrue Days		Net Cash Flow John P. Miller: John P. Miller: Sum of int and princ
Roll Days John P. Miller: John P. Miller: Days between settle and forward date		John P. Miller: John P. Miller: Total of sch and pp	John P. Miller: John P. Miller: Cpn Int for first month	John P. Miller: John P. Miller: Sum of int and princ	PV of Net CF John P. Miller: John P. Miller: Use reinv rate to discount net CF back to forward date
Imm. Price		Payment Date John P. Miller: John P. Miller: Date net CF is received
Front Month AI		Drop (32nds)
Balance	1,000,000.00	Settle to Pmt Date John P. Miller: John P. Miller: Days between forward settlement and receipt of net CF
	Mortgage Roll		Continued Holding
		FV of Payments
Cost		Remaining Principal John P. Miller: John P. Miller: Just bal - sch - pp
Accrued Interest		Forward Price John P. Miller: John P. Miller: Imm price less the drop
Amount Invested		AI May
Interest		Forward Invoice
Future Value		Future Value
Dollar Advantage