Prepayment assumptions form the basis upon which far more comprehensive MBS calculations are based.
Prepayment is beneficial to the pass-through owner when a mortgage pool has been purchased at a discount.
This example shows how to model prepayment in MATLAB® using functionality from the Financial Instruments Toolbox™.
Basic risk measures for a pool portfolio.
For valuation of a mortgage pool, generate interest-rate paths and use them with mortgage pool characteristics to properly value the pool.
This example illustrates how the Financial Toolbox™ and Financial Instruments Toolbox™ are used to price a level mortgage backed security using the BDT model.
The option-adjusted spread (OAS) is an amount of extra interest added to the reference zero curve.
When fewer than 360 months remain in the pool, the applicable PSA prepayment vector is "seasoned" by the pool's age.
Pools with different numbers of coupons remaining require a specific prepayment matrix format.
Mortgage-backed securities (MBSs) are a type of investment that represents ownership in a group of mortgages.