mbswal

Weighted average life of mortgage pool

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Syntax

WAL = mbswal(Settle,Maturity,IssueDate,GrossRate)
WAL = mbswal(___CouponRate,Delay,PrepaySpeed,PrepayMatrix)

Description

example

WAL = mbswal(Settle,Maturity,IssueDate,GrossRate) computes the weighted average life, in number of years, of a mortgage pool, as measured from the settlement date.

example

WAL = mbswal(___CouponRate,Delay,PrepaySpeed,PrepayMatrix) specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

Examples

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Open Live Script

This example shows how to determine the weighted average life of a mortgage pool, given a pass-through security with the following characteristics.

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

WAL = mbswal(Settle, Maturity, IssueDate, GrossRate, ... 
CouponRate, Delay, Speed)
WAL = 10.5477

Input Arguments

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Settlement date, specified as an NMBS-by-1 vector using serial date numbers or a cell array of date character vectors. Settle must be earlier than Maturity.

Data Types: double | char | cell

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

Data Types: double | char | cell

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

Data Types: double | char | cell

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

Data Types: double

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

Data Types: double

(Optional) Delay (in days) between payment from homeowner and receipt by bondholder, specified as an NMBS-by-1 vector.

Data Types: double

(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

(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

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Weighted Average Life (WAL) of MBS, in number of years, returned as a NMBS-by-1 vector.

References

[1] PSA Uniform Practices, SF-49

See Also

Topics

Introduced before R2006a

Financial Instruments Toolbox Documentation

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