Documentation |
Generate cash flows for scheduled collateralized mortgage obligation (CMO) using PAC or TAC model
[Balances, Principal, Interest] =
cmoschedcf(PrincipalPayments,
TranchePrincipals,
TrancheCoupons, BalanceSchedule)
[Balances, Principal, Interest] =
cmoschedcf(PrincipalPayments,
TranchePrincipals,
TrancheCoupons, BalanceSchedule) generate
cash flows for a scheduled CMO such as the planned amortization class
(PAC) or targeted amortization class (TAC), given the underlying mortgage
pool payments (or payments from another CMO tranche). The output Balance, Principal,
and Interest from this function can be used as
input into cmoseqcf to further
divide the PAC, TAC, or support tranche into sequential tranches.
PrincipalPayments |
Matrix of size 1-by-NUMTERMS, where NUMTERMS is the number of terms remaining. Each column contains the underlying principal payment for the time period corresponding to the row number. Calculate underlying principal payments using mbscfamounts or mbspassthrough. The underlying principal payments can also be outputs from other CMO cash flow functions. |
Hayre, Lakhbir, ed., Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities, John Wiley and Sons, New York, 2001.
Lyuu, Yuh-Dah, Financial Engineering and Computation, Cambridge University Press, 2004.