Seperate float portion of interest in Aggregate Pool Cashflow

[yellowbean]

User can feed an projected pool cashflow to start deal run.

But the problem is :

The projected pool cashflow lose the information that what's the pct of interest flow attributed to floater assets ? The input interest flow remains same regardless interest curve input ..

This will cause basis risk because in the cashflow projection of bonds, the floater index of bond will be updated by interest assumption. But the interest cashflow from the pool remains the same, because the engine doesn't know how increase or decrease the interest flow .

[yellowbean]

Input

• Add a section to describe, sum of %pct should be 100%
  • %pct of fixed rate asset, WA Rate at period 0
  • %pct..1 of floater with index asset ,WA Spread at period 0
  • %pct..2 of floater with index asset ,WA Spread at period 0

Algo to separate the cashflow

[yellowbean]

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