MBS Highlights

This group of functions covers level payment, graduated payment and adjustable rate mortgage-backed passthroughs including stripped securities like IOs and POs. The functions support many prepayment types including PSA, CPR, SMM, custom prepayment vectors, ABS, and n month. All of these prepayment types can be combined with a balloon. The analytics support price, yield, duration, cash flows, factors, weighted average life, effective convexity, Z-spread, and several implied prepayment speed calculations.

List of Functions