mbsnoprepay - End-of-month mortgage cash flows and balances without prepayment

Syntax

[Balance, Interest, Payment, Principal] = 
mbsnoprepay(OriginalBalance, GrossRate, Term)

Arguments

`OriginalBalance`	Original face value in dollars.
`GrossRate`	Gross coupon rate (including fees), in decimal.
`Term`	Term of the mortgage in months.

All inputs are number of mortgage-backed securities (NMBS)-by-1 vectors.

Description

[Balance, Interest, Payment, Principal] = mbsnoprepay(OriginalBalance, GrossRate, Term) computes end-of-month mortgage balance, interest payments, principal payments, and cash flow payments with zero prepayment rate.

The function returns amortizing cash flows and balances over a specified term with no prepayment. When the lengths of pass-throughs are not the same, MATLAB software pads the shorter ones with NaN.

Balance lists the end-of-month balances over the life of the pass-through.

Interest lists all end-of-month interest payments over the life of the pass-through.

Payment lists all end-of-month payments over the life of the pass-through.

Principal lists all scheduled end-of-month principal payments over the life of the pass-through.

All outputs are Term-by-1 vectors.

Examples

Given mortgage pools with the following characteristics, compute an amortization schedule.

OriginalBalance = 400000000;
CouponRate = 0.08125;
Term = [357; 355]; % Three- and five-month old mortgage pools.

[Balance, Interest, Payment, Principal] = ... 
mbsnoprepay(OriginalBalance, CouponRate, Term);

mbsdury

mbsoas2price

Free Interactive Computational Finance CD

View demos and recorded presentations led by industry experts.

Get the interactive CD

Get trial software

Now On Demand
Network with industry peers and learn the latest applications of the leading software product for computational finance.