Yield given optionadjusted spread
[MYield, BEMBSYield] = mbsoas2yield(ZeroCurve, OAS, Settle,
Maturity, IssueDate, GrossRate, CouponRate, Delay, Interpolation,
PrepaySpeed, PrepayMatrix)
ZeroCurve  A matrix of three columns:

OAS  Optionadjusted spreads in basis points. 
Settle  Settlement date (scalar only). A serial date number or
date string. Date when optionadjusted spread is calculated. 
Maturity  Maturity date. Scalar or vector in serial date number or date string format. 
IssueDate  Issue date. A serial date number or date string. 
GrossRate  Gross coupon rate (including fees), in decimal. 
 (Optional) Net coupon rate, in decimal. Default = 
Delay  (Optional) Delay (in days) between payment from homeowner and receipt by bondholder. Default = 0 (no delay between payment and receipt). 
Interpolation  Interpolation method. Computes the corresponding spot
rates for the bond's cash flow. Available methods are (0) nearest,
(1) linear, and (2) cubic spline. Default = 1. See 
PrepaySpeed  (Optional) Relation of the conditional payment rate (CPR)
to the benchmark model. Default = end of month's CPR. Set 
PrepayMatrix  (Optional) Customized prepayment matrix. A matrix of
size 
All inputs (except PrepayMatrix
) are number
of mortgagebacked securities (NMBS
) by 1
vectors.
[MYield, BEMBSYield] = mbsoas2yield(ZeroCurve, OAS,
Settle, Maturity, IssueDate, GrossRate, CouponRate, Delay, Interpolation,
PrepaySpeed, PrepayMatrix)
computes the mortgage and bondequivalent
yields of a passthrough security.
MYield
is the yield to maturity of the mortgagebacked
security (the mortgage yield). This yield is compounded monthly (12
times per year). For example:
0.075 (7.5%)
BEMBSYield
is the corresponding bond equivalent
yield of the mortgagebacked security. This yield is compounded semiannually
(two times per year). For example:
0.0761 (7.61%)