Mortgage Pass-Through

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

Use tools to determine cash flows, convexity, and duration for mortgage pools, compute option-adjusted spreads, and model prepayment speeds.

Functions

mbscfamounts Cash flow and time mapping for mortgage pool

`mbsconvp`	Convexity of mortgage pool given price
`mbsconvy`	Convexity of mortgage pool given yield

`mbsdurp`	Duration of mortgage pool given price
`mbsdury`	Duration of mortgage pool given yield

`mbsnoprepay`	End-of-month mortgage cash flows and balances without prepayment
`mbspassthrough`	Mortgage pool cash flows and balances with prepayment
`mbsprice`	Mortgage-backed security price given yield
`mbswal`	Weighted average life of mortgage pool
`mbsyield`	Mortgage-backed security yields given price

`mbsprice2speed`	Implied PSA prepayment speeds given price
`mbsyield2speed`	Implied PSA prepayment speeds given yield
`psaspeed2default`	Benchmark default
`psaspeed2rate`	Single monthly mortality rate given PSA speed

`mbsoas2price`	Price given option-adjusted spread
`mbsoas2yield`	Yield given option-adjusted spread
`mbsprice2oas`	Option-adjusted spread given price
`mbsyield2oas`	Option-adjusted spread given yield

Fixed-Rate Mortgage Pool
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 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.