psaspeed2default - Benchmark default
Syntax
[ADRPSA, MDRPSA] = psaspeed2default(DefaultSpeed)
Arguments
| DefaultSpeed | Annual speed relative to the benchmark. PSA benchmark
= 100. |
Description
[ADRPSA, MDRPSA] = psaspeed2default(DefaultSpeed)
computes the benchmark default on the performing balance of mortgage-backed
securities per PSA benchmark speed.
ADRPSA is the PSA default rate, in decimal
(360-by-1).
MDRPSA is the PSA monthly default rate, in
decimal (360-by-1).
Examples
Given a mortgage-backed security with annual speed set at the
PSA default benchmark, compute the default rates.
DefaultSpeed = 100;
[ADRPSA, MDRPSA] = psaspeed2default(DefaultSpeed);
See Also
psaspeed2rate
 | mbsyield2speed | | psaspeed2rate |  |
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