Documentation

mbsconvp

Convexity of mortgage pool given price

Syntax

Convexity = mbsconvp(Price, Settle, Maturity, IssueDate, GrossRate,
CouponRate, Delay, PrepaySpeed, PrepayMatrix)

Arguments

Price

Clean price for every $100 face value.

Settle

Settlement date. A serial date number or date string. Settle must be earlier than Maturity.

Maturity

Maturity date. A serial date number or date string.

IssueDate

Issue date. A serial date number or date string.

GrossRate

Gross coupon rate (including fees), in decimal.

CouponRate

Net coupon rate, in decimal. Default = GrossRate.

Delay

Delay in days.

PrepaySpeed

(Optional) Relation of the conditional payment rate (CPR) to the benchmark model. Default = 0. Set PrepaySpeed to [] if you input a customized prepayment matrix.

PrepayMatrix

(Optional) Used only when PrepaySpeed is unspecified. Customized prepayment vector. 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.

All inputs (except PrepayMatrix) are number of mortgage-backed securities (NMBS) by 1 vectors.

Description

Convexity = mbsconvp(Price, Settle, Maturity, IssueDate, GrossRate, CouponRate, Delay, PrepaySpeed, PrepayMatrix) computes mortgage-backed security convexity, given time information, price at settlement, and optionally, a prepayment model.

    Note   If you specify the PSA or FHA model, it will be seasoned with how long the debt has been outstanding (the loan's age).

Examples

expand all

Compute a Mortgage-Backed Security Convexity

This example shows how to compute a mortgage-backed security convexity, given a mortgage-backed security with the following characteristics.

Price      = 101;
Settle     = '15-Apr-2002';
Maturity   = '1 Jan 2030';
IssueDate  = '1-Jan-2000';
GrossRate  = 0.08125;
CouponRate = 0.075;
Delay = 14;
Speed = 100;

Convexity = mbsconvp(Price, Settle, Maturity, IssueDate,...
GrossRate, CouponRate, Delay, Speed)
Convexity =

   71.6299

References

[1] PSA Uniform Practices, SF-49

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