Fixed-Income Toolbox
Product Description
- Introduction and Key Features
- Yield Curve Fitting and Analysis
- Credit Default Swap Pricing and Valuation
- Debt Instrument Valuation
- Derivative Instrument Valuation
- Mortgage Pool and Balloon Mortgage Pricing
Mortgage Pool and Balloon Mortgage Pricing
Fixed-Income Toolbox lets you model generic fixed-rate mortgage pools and balloon mortgages. The toolbox provides tools to calculate price and yield of mortgage-backed securities using prepayment options derived from uniform practices of the Public Securities Association (PSA). You can calculate the mortgage-pool price or effective duration using the option adjusted spread method for your mortgage pool. You can also measure the risk for a mortgage-pool portfolio using convexity, duration, and average life calculations.
Plots of mortgage pool monthly cashflows (left) and mortgage balance (right) for two conditional payment rates.
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