Generate principal balance schedule for planned amortization class (PAC) or targeted amortization class (TAC) bond
[
generates a principal balance schedule for planned amortization class (PAC) bonds
using two bands of Public Securities Association Prepayment Model (PSA) speeds or
targeted amortization class (TAC) bonds using a single PSA speed.BalanceSchedule
,InitialBalance
] = cmosched(Principal
,Coupon
,OriginalTerm
,TermRemaining
,PrepaySpeed
)
[
adds an optional argument for BalanceSchedule
,InitialBalance
] = cmosched(___,TranchePrincipal
)TranchePrincipal
.
[1] Hayre, Lakhbir, ed. Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities. John Wiley and Sons, New York, 2001.
[2] Lyuu, Yuh-Dah. Financial Engineering and Computation. Cambridge University Press, 2004.