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psaspeed2rate

Single monthly mortality rate given PSA speed

Syntax

[CPRPSA,SMMPSA]= psaspeed2rate(PSASpeed)

Arguments

PSASpeed

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

Description

[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].

Examples

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
psaspeed2rate(PSASpeed)

Introduced before R2006a

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