Mortgage Pass-Through

Determine cash flows, convexity, and duration for mortgage pools, compute option-adjusted spreads and model prepayment speeds

Functions

mbscfamounts Cash flow and time mapping for mortgage pool
mbsconvp Convexity of mortgage pool given price
mbsconvy Convexity of mortgage pool given yield
mbsdurp Duration of mortgage pool given price
mbsdury Duration of mortgage pool given yield
mbsnoprepay End-of-month mortgage cash flows and balances without prepayment
mbspassthrough Mortgage pool cash flows and balances with prepayment
mbsprice Mortgage-backed security price given yield
mbswal Weighted average life of mortgage pool
mbsyield Mortgage-backed security yield given price
mbsprice2speed Implied PSA prepayment speeds given price
mbsyield2speed Implied PSA prepayment speeds given yield
psaspeed2default Benchmark default
psaspeed2rate Single monthly mortality rate given PSA speed
mbsoas2price Price given option-adjusted spread
mbsoas2yield Yield given option-adjusted spread
mbsprice2oas Option-adjusted spread given price
mbsyield2oas Option-adjusted spread given yield
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