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mbswal

Weighted average life of mortgage pool

Compatibility

PSA

Syntax

WAL =  mbswal(Settle,Maturity,IssueDate,GrossRate,CouponRate,Delay,PrepaySpeed,PrepayMatrix)

Arguments

Settle

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

Maturity

Maturity date. A serial date number or date character vector.

IssueDate

Issue date. A serial date number or date character vector.

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 = end of month's CPR. 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

WAL = mbswal(Settle,Maturity,IssueDate,GrossRate,CouponRate,Delay,PrepaySpeed,PrepayMatrix) computes the weighted average life, in number of years, of a mortgage pool, as measured from the settlement date.

Examples

collapse all

This example shows how to determine the weighted average life of a mortgage pool, given a pass-through security with the following characteristics.

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;

WAL = mbswal(Settle, Maturity, IssueDate, GrossRate, ... 
CouponRate, Delay, Speed)
WAL = 10.5477

References

[1] PSA Uniform Practices, SF-49

Introduced before R2006a

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