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Model a mortgage-backed security

by Dimitri Shvorob

 

25 Sep 2007 (Updated 17 Oct 2007)

(Application of CFEVAL)

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Description

CFEVALDEMO2 illustrates how CFEVAL (available from FEX) can be used to model a mortgage, a mortgage passthrough, or a collateralized mortgage obligation.

To run the code, you will need to download the FEX submissions listed in 'Acknowledgements' section below.

Acknowledgements

The author wishes to acknowledge the following in the creation of this submission:
Evaluate debt instrument's cash flows, Compute PSA-benchmarked prepayment metrics

MATLAB release MATLAB 7.2 (R2006a)
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Updates
17 Oct 2007

cosmetic revision

Tag Activity for this File
Tag Applied By Date/Time
finance Dimitri Shvorob 22 Oct 2008 09:28:16
modeling Dimitri Shvorob 22 Oct 2008 09:28:16
analysis Dimitri Shvorob 22 Oct 2008 09:28:16
mortgage passthrough mbs cmo Dimitri Shvorob 22 Oct 2008 09:28:16

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