|End-of-month mortgage cash flows and balances without prepayment|
|Mortgage pool cash flows and balances with prepayment|
|Mortgage-backed security price given yield|
|Weighted average life of mortgage pool|
|Mortgage-backed security yields given price|
|Implied PSA prepayment speeds given price|
|Implied PSA prepayment speeds given yield|
|Single monthly mortality rate given PSA speed|
|Price given option-adjusted spread|
|Yield given option-adjusted spread|
|Option-adjusted spread given price|
|Option-adjusted spread given yield|
- Fixed-Rate Mortgage Pool
Generic fixed-rate mortgage pools and balloon mortgages have pass-through certificates (PC) that typically have embedded call options in the form of prepayment.
- Pricing Mortgage Backed Securities Using the Black-Derman-Toy Model
This example illustrates how the Financial Toolbox™ and Financial Instruments Toolbox™ are used to price a level mortgage backed security using the BDT model.
- Computing Option-Adjusted Spread
The option-adjusted spread (OAS) is an amount of extra interest added to the reference zero curve.
- Prepayments with Fewer Than 360 Months Remaining
When fewer than 360 months remain in the pool, the applicable PSA prepayment vector is "seasoned" by the pool's age.
- Pools with Different Numbers of Coupons Remaining
Pools with different numbers of coupons remaining require a specific prepayment matrix format.
- Prepayment Modeling with a Two Factor Hull White Model and a LIBOR Market Model
This example shows how to model prepayment in MATLAB® using functionality from the Financial Instruments Toolbox™.
- What Are Mortgage-Backed Securities?
Mortgage-backed securities (MBSs) are a type of investment that represents ownership in a group of mortgages.