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psaspeed2default

Benchmark default

Syntax

[ADRPSA,MDRPSA] = psaspeed2default(DefaultSpeed)

Arguments

DefaultSpeed

Annual speed relative to the benchmark. PSA benchmark = 100.

Description

[ADRPSA,MDRPSA] = psaspeed2default(DefaultSpeed) computes the benchmark default on the performing balance of mortgage-backed securities per PSA benchmark speed.

ADRPSA is the PSA default rate, in decimal (360-by-1).

MDRPSA is the PSA monthly default rate, in decimal (360-by-1).

Examples

collapse all

This example shows how to compute the benchmark default rates on the performing balance of mortgage-backed securities per PSA benchmark speed, given a mortgage-backed security with annual speed set at the PSA default benchmark.

DefaultSpeed = 100;

[ADRPSA, MDRPSA] = psaspeed2default(DefaultSpeed)
ADRPSA = 

    0.0002
    0.0004
    0.0006
    0.0008
    0.0010
    0.0012
    0.0014
    0.0016
    0.0018
    0.0020

MDRPSA = 

   1.0e-03 *

    0.0167
    0.0333
    0.0500
    0.0667
    0.0834
    0.1001
    0.1167
    0.1334
    0.1501
    0.1668

Introduced before R2006a

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