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mbsprice

Mortgage-backed security price given yield

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Syntax

[Price,AccrInt] = mbsprice(Yield,Settle,Maturity,IssueDate,GrossRate)
[Price,AccrInt] = mbsprice(___CouponRate,Delay,PrepaySpeed,PrepayMatrix)

Description

[Price,AccrInt] = mbsprice(Yield,Settle,Maturity,IssueDate,GrossRate) computes a mortgage-backed security price, given time information and mortgage yield at settlement.

example

[Price,AccrInt] = mbsprice(___CouponRate,Delay,PrepaySpeed,PrepayMatrix) specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

example

Examples

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Open Live Script

This example shows how to determine the mortgage-backed security price given a mortgage-backed security with the following characteristics.

Yield = 0.0725;
Settle = datetime(2002,4,15);
Maturity = datetime(2030,1,1);
IssueDate = datetime(2000,1,1);
GrossRate = 0.08125;
CouponRate = 0.075;
Delay = 14;
Speed = 100;

[Price AccrInt] = mbsprice(Yield, Settle, Maturity, IssueDate,...
GrossRate, CouponRate, Delay, Speed)
Price = 
101.3147

AccrInt = 
0.2917
Open Live Script

This example shows how to determine the mortgage-backed security price, given a mortgage-backed security, and PrePaytMatrix with the following characteristics: 

Yield = 0.0725;
Settle = datetime(2002,4,15);
Maturity = datetime(2030,1,1);
IssueDate = datetime(2000,1,1);
GrossRate = 0.08125;
PrepayMatrix = 0.005*ones(360,1);

[Price AccrInt] = mbsprice(Yield, Settle, Maturity, IssueDate,...
GrossRate, PrepayMatrix)
Price = 360×1

   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
   34.8583
      ⋮


AccrInt = 360×1

    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
    0.0194
      ⋮

Input Arguments

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Mortgage yield compounded monthly, specified as an NMBS-by-1 vector using decimal values.

Data Types: double

Settlement date, specified as an NMBS-by-1 vector using a datetime array, string array, or date character vectors. Settle must be earlier than Maturity.

To support existing code, mbsprice also accepts serial date numbers as inputs, but they are not recommended.

Maturity date, specified as an NMBS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, mbsprice also accepts serial date numbers as inputs, but they are not recommended.

Issue date, specified as an NMBS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, mbsprice also accepts serial date numbers as inputs, but they are not recommended.

Gross coupon rate (including fees), specified as an NMBS-by-1 vector of decimal values.

Data Types: double

(Optional) Net coupon rate, specified as an NMBS-by-1 vector of decimal values.

Data Types: double

(Optional) Delay (in days) between payment from homeowner and receipt by bondholder, specified as an NMBS-by-1 vector.

Data Types: double

(Optional) Speed relative to PSA standard, specified as an NMBS-by-1 vector. The PSA standard is 100.

Note

Set the PrepaySpeed to [] if you input a customized PrepayMatrix.

Data Types: double

(Optional) Customized prepayment vector, specified as a NaN-padded matrix of size max(TermRemaining)-by-NMBS. Each column corresponds to each mortgage-backed security, and each row corresponds to each month after settlement.

Note

Use PrepayMatrix only when PrepaySpeed is unspecified.

Data Types: double

Output Arguments

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Clean price for every $100 face value of the securities, returned as a NMBS-by-1 vector.

Accrued interest of the mortgage-backed securities, returned as a NMBS-by-1 vector.

References

[1] PSA Uniform Practices, SF-49

Version History

Introduced before R2006a

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See Also

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