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Mortgage Pass-Through

Determine cash flows, convexity, and duration for mortgage pools, compute option-adjusted spreads and model prepayment speeds


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mbscfamountsCash flow and time mapping for mortgage pool
mbsconvpConvexity of mortgage pool given price
mbsconvyConvexity of mortgage pool given yield
mbsdurpDuration of mortgage pool given price
mbsduryDuration of mortgage pool given yield
mbsnoprepayEnd-of-month mortgage cash flows and balances without prepayment
mbspassthroughMortgage pool cash flows and balances with prepayment
mbspriceMortgage-backed security price given yield
mbswalWeighted average life of mortgage pool
mbsyieldMortgage-backed security yields given price
mbsprice2speedImplied PSA prepayment speeds given price
mbsyield2speedImplied PSA prepayment speeds given yield
psaspeed2defaultBenchmark default
psaspeed2rateSingle monthly mortality rate given PSA speed
mbsoas2pricePrice given option-adjusted spread
mbsoas2yieldYield given option-adjusted spread
mbsprice2oasOption-adjusted spread given price
mbsyield2oasOption-adjusted spread given yield

Examples and How To