Generate cash flows for scheduled collateralized mortgage obligation (CMO) using PAC or TAC model
[Balances,Principal,Interest] = cmoschedcf(PrincipalPayments,TranchePrincipals,TrancheCoupons,BalanceSchedule)
[Balances,Principal,Interest] = cmoschedcf(PrincipalPayments,TranchePrincipals,TrancheCoupons,BalanceSchedule)
generate
cash flows for a scheduled CMO such as the planned amortization class
(PAC) or targeted amortization class (TAC), given the underlying mortgage
pool payments (or payments from another CMO tranche). The output Balance
, Principal
,
and Interest
from this function can be used as
input into cmoseqcf
to further
divide the PAC, TAC, or support tranche into sequential tranches.

Matrix of size 

Matrix of size 

Matrix of size 

Matrix of size 

Matrix of size 

Matrix of size 

Matrix of size 
Hayre, Lakhbir, ed. Salomon Smith Barney Guide to MortgageBacked and AssetBacked Securities. John Wiley and Sons, New York, 2001.
Lyuu, YuhDah. Financial Engineering and Computation. Cambridge University Press, 2004.