mbsprice2speed

Implied PSA prepayment speeds given price

Description

example

[ImpSpdOnPrc,ImpSpdOnDur,ImpSpdOnCnv] = mbsprice2speed(Price,Settle,Maturity,IssueDate,GrossRate,PrepayMatrix) computes PSA prepayment speeds implied by pool prices and projected (user-defined) prepayment vectors. The calculated PSA speed produces the same price, modified duration, or modified convexity, depending upon the output requested.

example

[ImpSpdOnPrc,ImpSpdOnDur,ImpSpdOnCnv] = mbsprice2speed(___,CouponRate,Delay) specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

Examples

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This example shows how to compute the equivalent PSA benchmark prepayment speeds for a mortgage pool with the following characteristics and prepayment matrix.

Price        = 101;
Settle       = datenum('1-Jan-2000');
Maturity     = datenum('1-Jan-2030');
IssueDate    = datenum('1-Jan-2000');
GrossRate    = 0.08125;
PrepayMatrix = 0.005*ones(360,1);
CouponRate   = 0.075;
Delay        = 14;

[ImpSpdOnPrc, ImpSpdOnDur, ImpSpdOnCnv] = ... 
mbsprice2speed(Price,Settle, Maturity, IssueDate, ... 
GrossRate, PrepayMatrix, CouponRate, Delay)
ImpSpdOnPrc = 118.5980
ImpSpdOnDur = 118.3946
ImpSpdOnCnv = 109.5115

Input Arguments

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Clean price for every $100 face value, specified as an NMBS-by-1 vector.

Data Types: double

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

Data Types: double | char | cell

Maturity date, specified as an NMBS-by-1 vector using serial date numbers or a cell array of date character vectors.

Data Types: double | char | cell

Issue date, specified as an NMBS-by-1 vector using serial date numbers or a cell array of date character vectors.

Data Types: double | char | cell

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

Data Types: double

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

(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

Output Arguments

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Equivalent PSA benchmark prepayment speed for the pass-through to carry the same price, returned as a NMBS-by-1 vector.

Equivalent PSA benchmark prepayment speed for the pass-through to carry the same modified duration, returned as a NMBS-by-1 vector.

Equivalent PSA benchmark prepayment speed for the pass-through to carry the same modified convexity, returned as a NMBS-by-1 vector.

References

[1] PSA Uniform Practices, SF-49

Introduced before R2006a