Fixed-Income Toolbox™

psaspeed2rate - Single monthly mortality rate given PSA speed

Syntax

[CPRPSA, SMMPSA]= psaspeed2rate(PSASpeed)

Arguments

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