Generic fixed-rate mortgage pools and balloon mortgages have pass-through certificates (PC) that typically have embedded call options in the form of prepayment.
Pricing Mortgage Backed Securities Using the Black-Derman-Toy Model
This example illustrates how the Financial Toolbox™ and Financial Instruments Toolbox™ are used to price a level mortgage backed security using the BDT model.
Computing Option-Adjusted Spread
The option-adjusted spread (OAS) is an amount of extra interest added to the reference zero curve.
Prepayments with Fewer Than 360 Months Remaining
When fewer than 360 months remain in the pool, the applicable PSA prepayment vector is "seasoned" by the pool's age.
Pools with Different Numbers of Coupons Remaining
Pools with different numbers of coupons remaining require a specific prepayment matrix format.
Prepayment Modeling with a Two Factor Hull White Model and a LIBOR Market Model
This example shows how to model prepayment in MATLAB® using functionality from the Financial Instruments Toolbox™.
What Are Mortgage-Backed Securities?
Mortgage-backed securities (MBSs) are a type of investment that represents ownership in a group of mortgages.