mbsprice

Mortgage-backed security price given yield

Syntax

[Price,AccrInt] = mbsprice(Yield,Settle,Maturity,IssueDate,GrossRate)

[Price,AccrInt] = mbsprice(___CouponRate,Delay,PrepaySpeed,PrepayMatrix)

Description

[Price,AccrInt] = mbsprice(Yield,Settle,Maturity,IssueDate,GrossRate) computes a mortgage-backed security price, given time information and mortgage yield at settlement.

[Price,AccrInt] = mbsprice(___CouponRate,Delay,PrepaySpeed,PrepayMatrix) specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

Examples

Determine the Mortgage-Backed Security Price Given the Yield

This example shows how to determine the mortgage-backed security price given a mortgage-backed security with the following characteristics.

Yield = 0.0725;
Settle = datenum('15-Apr-2002');
Maturity = datenum('1 Jan 2030');
IssueDate = datenum('1-Jan-2000');
GrossRate = 0.08125;
CouponRate = 0.075;
Delay = 14;
Speed = 100;

[Price AccrInt] = mbsprice(Yield, Settle, Maturity, IssueDate,...
GrossRate, CouponRate, Delay, Speed)

Price = 101.3147

AccrInt = 0.2917

Determine the Mortgage-Backed Security Price Using a Customized PrePaytMatrix

This example shows how to determine the mortgage-backed security price, given a mortgage-backed security, and PrePaytMatrix with the following characteristics:

Yield = 0.0725;
Settle = datenum('15-Apr-2002');
Maturity = datenum('1 Jan 2030');
IssueDate = datenum('1-Jan-2000');
GrossRate = 0.08125;
PrepayMatrix = 0.005*ones(360,1);

[Price AccrInt] = mbsprice(Yield, Settle, Maturity, IssueDate,...
GrossRate, PrepayMatrix)

Price = 360×1

   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
      ⋮

AccrInt = 360×1

    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
      ⋮

Input Arguments

Yield — Mortgage yield compounded monthly

vector of decimal values

Mortgage yield compounded monthly, specified as an NMBS-by-1 vector using decimal values.

Data Types: double

Settle — Settlement date

cell array of date character vectors | vector of serial date numbers

Settlement date, specified as an NMBS-by-1 vector using serial date numbers or a cell array of date character vectors. Settle must be earlier than Maturity.

Data Types: double | char | cell

Maturity — Maturity date

cell array of date character vectors | vector of serial date numbers

Maturity date, specified as an NMBS-by-1 vector using serial date numbers or a cell array of date character vectors.

Data Types: double | char | cell

IssueDate — Issue date

cell array of date character vectors | vector of serial date numbers

Issue date, specified as an NMBS-by-1 vector using serial date numbers or a cell array of date character vectors.

Data Types: double | char | cell

GrossRate — Gross coupon rate (including fees)

vector of decimal values

Gross coupon rate (including fees), specified as an NMBS-by-1 vector of decimal values.

Data Types: double

CouponRate — Net coupon rate

GrossRate (default) | vector of decimal values

(Optional) Net coupon rate, specified as an NMBS-by-1 vector of decimal values.

Data Types: double

Delay — Delay (in days) between payment from homeowner and receipt by bondholder

0 (no delay between payment and receipt) (default) | vector

(Optional) Delay (in days) between payment from homeowner and receipt by bondholder, specified as an NMBS-by-1 vector.

Data Types: double

PrepaySpeed — Speed relative to PSA standard

0 (no prepayment) (default) | vector

(Optional) Speed relative to PSA standard, specified as an NMBS-by-1 vector. The PSA standard is 100.

Note

Set the PrepaySpeed to [] if you input a customized PrepayMatrix.

Data Types: double

PrepayMatrix — Customized prepayment vector

matrix

(Optional) Customized prepayment vector, specified as a NaN-padded matrix of size max(TermRemaining)-by-NMBS. Each column corresponds to each mortgage-backed security, and each row corresponds to each month after settlement.

Note

Use PrepayMatrix only when PrepaySpeed is unspecified.

Data Types: double

Output Arguments

Price — Clean price for every $100 face value of the securities

vector

Clean price for every $100 face value of the securities, returned as a NMBS-by-1 vector.

AccrInt — Accrued interest of the mortgage-backed securities

vector

Accrued interest of the mortgage-backed securities, returned as a NMBS-by-1 vector.

References

[1] PSA Uniform Practices, SF-49