Fixed-Income Toolbox™ 1.5

Product Description

• Introduction and Key Features
• Mortgage Pools and Balloon Mortgages
• Debt Instruments
• Derivatives Securities

Mortgage Pools and Balloon Mortgages

With the Fixed-Income Toolbox, you can model generic fixed-rate mortgage pools and balloon mortgages.

Tools are provided for:

• Calculating the price and yield of mortgage-backed securities using prepayment options derived from uniform practices of the Public Securities Association (PSA)
• Determining the mortgage-pool price or effective duration using the Option Adjusted Spread (OAS) method
• Calculating basic risk measurements for a mortgage-pool portfolio using convexity, duration, and average life

The functionality in The Fixed-Income Toolbox allows you to easily generate multiple prepayment vectors using standards from the Public Securities Association (PSA).