mbsconvp

Convexity of mortgage pool given price

Syntax

Convexity = mbsconvp(Price,Settle,Maturity,IssueDate,GrossRate)

Convexity = mbsconvp(___,CouponRate,Delay,PrepaySpeed,PrepayMatrix)

Description

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

Convexity = mbsconvp(___,CouponRate,Delay,PrepaySpeed,PrepayMatrix) specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

Examples

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

Input Arguments

Price — Clean price for every $100 face value

vector

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

Data Types: double

Settle — Settlement dates

vector

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

Data Types: double | cell

Maturity — Maturity dates

vector

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

Data Types: double | cell

IssueDate — Issue dates

vector

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

Data Types: double | cell

GrossRate — Gross coupon rate (including fees)

vector

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

Data Types: double

CouponRate — Net coupon rate

GrossRate (default) | vector

(Optional) Net coupon rate, specified as an NMBS-by-1 vector of numeric decimals.

Data Types: double

Delay — Delay in days

0 (no delay) (default) | vector

(Optional) Delay in days, specified as an NMBS-by-1 vector.

Data Types: double

PrepaySpeed — Speed relative to PSA standard

0 (no prepayment) (default) | vector

(Optional) Speed relative to PSA standard, specified as an NMBS-by-1 vector. The PSA standard is 100.

Note

Set the PrepaySpeed to [] if you input a customized PrepayMatrix.

Data Types: double

PrepayMatrix — Customized prepayment vector

matrix

(Optional) 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

Output Arguments

Convexity — Periodic convexity of mortgage pool

scalar numeric

Periodic convexity of mortgage pool, returned as a scalar numeric.

References

[1] PSA Uniform Practices, SF-49