mbsyield2speed
Implied PSA prepayment speeds given yield
Syntax
Description
[
computes PSA prepayment speeds implied by pool yields and projected (user-defined)
prepayment vectors. The calculated PSA speed produces the same yield, modified duration, or
modified convexity, depending upon the output requested.ImpSpdOnPrc
,ImpSpdOnDur
,ImpSpdOnCnv
] = mbsyield2speed(Yield
,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
] = mbsyield2speed(___,CouponRate
,Delay
)
Examples
Input Arguments
Output Arguments
References
[1] PSA Uniform Practices, SF-49