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Structured Finance Modeling with Object-Oriented VBA by Evan Tick

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Index

⋀ (logical and)

⋁ (logical or)

image (payment operator)

:=(assignment)

¬ (negation)

“I” structure

“Y” structure

acceleration

Adjustible Rate Mortgage (ARM)

characteristics

hybrid

nreset shock

alias

allocation. See sizing

amortization

early

negative

of senior bonds

percentage

schedule

slow

turbo

Amortized Default Balance (ADB)

analysis

dynamic

static

architecture

array

in Excel

passing as Variant

asset

-backed credit default swap (ABCDS)

-backed index (ABX)

-backed security (ABS)

buy back

cash flow analysis

seller

Available Funds Cap (AFC). See WAC cap

balance,

actual

performing

Zero Prepay- (ZPB)

balloon loan

baseline O/C

basis risk

-Carry Forward Amount (BRCFA)

gap

bespoke tranche

Binomial Expansion Technique (BET)

binary search

block

Bloomberg

Bond-Equivalent Yield (BEY)

buy back

C++

constructor

instantiation

call

-by reference

-by value

cleanup

non-call period

post-call multipliers

rights

risk due to

cap. See corridor

cash cap table

cash flow

actual

deferred

diversion

examples

notation in model

of collateral

of liabilities

zero-prepay

CDX

certificate holder

child class

Cholesky decomposition

class

Application

architecture

child

Collection

Excel

inheritance. See inheritance

instantiation of object

method

module

“N”

“P”

parameterized

parent

“R”

Waterfall

Workbook

Worksheet

WorksheetFunction

“X”

cleanup call

CMO Description Information (CDI)

code

backwards compatible

benchmarking ...

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