mbsprice

Mortgage-backed security price given yield

Syntax

[Price, AccrInt] = mbsprice(Yield, Settle, Maturity, IssueDate,
GrossRate, CouponRate, Delay, PrepaySpeed, PrepayMatrix)

Arguments

Yield

Mortgage yield, compounded monthly (in decimal).

Settle

Settlement date. A serial date number or date string. Settle must be earlier than Maturity.

Maturity

Maturity date. A serial date number or date string.

IssueDate

Issue date. A serial date number or date string.

GrossRate

Gross coupon rate (including fees), in decimal.

CouponRate

(Optional) Net coupon rate, in decimal. Default = GrossRate.

Delay

(Optional) Delay (in days) between payment from homeowner and receipt by bondholder. Default = 0 (no delay between payment and receipt.

PrepaySpeed

(Optional) Relation of the conditional payment rate (CPR) to the benchmark model. Default = 0 (no prepayment). Set PrepaySpeed to [] if you input a customized prepayment matrix.

PrepayMatrix

(Optional) Customized prepayment matrix. A matrix of size max(TermRemaining)-by-NMBS. Missing values are padded with NaNs. Each column corresponds to a mortgage-backed security, and each row corresponds to each month after settlement.

All inputs (except PrepayMatrix) are number of mortgage-backed securities (NMBS) by 1 vectors.

Description

[Price, AccrInt] = mbsprice(Yield, Settle, Maturity, IssueDate, GrossRate, CouponRate, Delay, PrepaySpeed, PrepayMatrix) computes a mortgage-backed security price, given time information, mortgage yield at settlement, and optionally, a prepayment model.

All outputs are scalar values.

Price is the clean price for every $100 face value of the securities.

AccrInt is the accrued interest of the mortgage-backed securities.

Examples

expand all

Determine the Mortgage-Backed Security Price Given the Yield

This example shows how to determine the mortgage-backed security price given a mortgage-backed security with the following characteristics.

Yield = 0.0725;
Settle = datenum('15-Apr-2002');
Maturity = datenum('1 Jan 2030');
IssueDate = datenum('1-Jan-2000');
GrossRate = 0.08125;
CouponRate = 0.075;
Delay = 14;
Speed = 100;

[Price AccrInt] = mbsprice(Yield, Settle, Maturity, IssueDate,...
GrossRate, CouponRate, Delay, Speed)
Price =

  101.3147


AccrInt =

    0.2917

References

[1] PSA Uniform Practices, SF-49

See Also

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