Mortgage pass-through cash flows, CMO instrument pricing
A mortgage-backed security (MBS) is a type of asset-backed security that is secured by a mortgage, or more commonly a “pool” of mortgages. This toolbox provides functionality to price, compute sensitivity, calculate cash flow, and perform prepayment analysis for an MBS ("pass-through”) and a collateralized mortgage obligation (CMO).
- Mortgage Pass-Through
Determine cash flows, convexity, and duration for mortgage pools, compute option-adjusted spreads and model prepayment speeds
- Collateralized Mortgage Obligations
Cash flow generation, pricing, and sensitivity analysis for CMO