- 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 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.