mbsprice2speed
Implied PSA prepayment speeds given price
Syntax
Description
[
computes PSA prepayment speeds implied by pool prices and projected (user-defined)
prepayment vectors. The calculated PSA speed produces the same price, modified
duration, or modified convexity, depending upon the output requested.ImpSpdOnPrc
,ImpSpdOnDur
,ImpSpdOnCnv
] = mbsprice2speed(Price
,Settle
,Maturity
,IssueDate
,GrossRate
,PrepayMatrix
)
[
specifies options using one or more optional arguments in addition to the input
arguments in the previous syntax. ImpSpdOnPrc
,ImpSpdOnDur
,ImpSpdOnCnv
] = mbsprice2speed(___,CouponRate
,Delay
)
Examples
Input Arguments
Output Arguments
References
[1] PSA Uniform Practices, SF-49