I am brand new to this forum. I asked this question on the main StackOverflow site and it was suggested that I ask here.
My task is to find a method to quickly calculate the monthly cash flow on nearly 500,000 loans. However, this problem cannot be solved with simple amortization schedules. The loans have a variety of attributes like periodic reset dates, caps, floors and balloon dates. Some are variable, some fixed rate and nearly all of them are aged to some degree (months or years). After running the amortization schedules, I need to input different sets of prepayment speed assumptions, then run it all again… 20 more times!
I am currently using Excel on a smaller data-set, but Excel doesn't have the capacity to perform these tasks quickly. A recent test of only 10,000 loans took nearly 5 minutes.
For starters, I’d like to know: Is anyone aware of any existing companies that already do this? Alternatively, If I decide to build something from scratch, what programming language would be most appropriate given the size. My best estimate is between 5 and 10 billion calculations, maybe more.
Thanks in advance for any and all replies.