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Single monthly mortality rate given PSA speed


[CPRPSA,SMMPSA]= psaspeed2rate(PSASpeed)



Any value > 0 representing the annual speed relative to the benchmark. PSA benchmark = 100.


[CPRPSA,SMMPSA]= psaspeed2rate(PSASpeed) calculates vectors of PSA prepayments, each containing 360 prepayment elements, to represent the 360 months in a 30-year mortgage pool.

CPRPSA is the PSA conditional prepayment rate, in decimal [360-by-1].

SMMPSA is the PSA single monthly mortality rate, in decimal [360-by-1].


collapse all

This example shows how to compute the prepayment and mortality rates, given a mortgage-backed security with annual speed set at the PSA default benchmark.

PSASpeed = [100 200];
[CPRPSA, SMMPSA]= psaspeed2rate(PSASpeed);

% view the plot of the output

Introduced before R2006a

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