psaspeed2rate - Single monthly mortality rate given PSA speed
Syntax
[CPRPSA, SMMPSA]= psaspeed2rate(PSASpeed)
Arguments
| PSASpeed | Any value > 0 representing the annual speed relative
to the benchmark. PSA benchmark = 100. |
Description
[CPRPSA, SMMPSA]= psaspeed2rate(PSASpeed)
calculates vectors of PSA prepayments, each containing 360 prepayment
elements, to represent the 360 months in a 30-year mortgage pool.
CPRPSA is the PSA conditional prepayment
rate, in decimal [360-by-1].
SMMPSA is the PSA single monthly mortality
rate, in decimal [360-by-1].
Examples
Given a mortgage-backed security with annual speed set at the
PSA default benchmark, compute the prepayment and mortality rates.
PSASpeed = [100 200];
[CPRPSA, SMMPSA]= psaspeed2rate(PSASpeed);
View a plot of the output.
psaspeed2rate(PSASpeed)
See Also
psaspeed2default
 | psaspeed2default | | stepcpncfamounts |  |
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