psaspeed2rate

Single monthly mortality rate given PSA speed

Syntax

[CPRPSA,SMMPSA] = psaspeed2rate(PSASpeed)

Description

[CPRPSA,SMMPSA] = psaspeed2rate(PSASpeed) calculates vectors of PSA prepayments, each containing 360 prepayment elements, to represent the 360 months in a 30-year mortgage pool.

Examples

Compute the Prepayment and Mortality Rates

This example shows how to compute the prepayment and mortality rates, given a mortgage-backed security with annual speed set at the PSA default benchmark.

PSASpeed = [100 200];
 
[CPRPSA, SMMPSA]= psaspeed2rate(PSASpeed)

CPRPSA = 360×2

    0.0020    0.0040
    0.0040    0.0080
    0.0060    0.0120
    0.0080    0.0160
    0.0100    0.0200
    0.0120    0.0240
    0.0140    0.0280
    0.0160    0.0320
    0.0180    0.0360
    0.0200    0.0400
      ⋮

SMMPSA = 360×2

    0.0002    0.0003
    0.0003    0.0007
    0.0005    0.0010
    0.0007    0.0013
    0.0008    0.0017
    0.0010    0.0020
    0.0012    0.0024
    0.0013    0.0027
    0.0015    0.0031
    0.0017    0.0034
      ⋮

% view the plot of the output
psaspeed2rate(PSASpeed)

Input Arguments

PSASpeed — Annual speed relative to the benchmark

vector in decimals

Annual speed relative to the benchmark, specified as any value > 0 using an NSPD-by-1 vector. The PSA benchmark is 100.

Data Types: double

Output Arguments

CPRPSA — PSA conditional prepayment rate

vector

PSA conditional prepayment rate, returned as a 360-by-NSPD vector in decimals.

SMMPSA — PSA single monthly mortality rate

vector

PSA monthly default rate, returned as a 360-by-NSPD vector in decimals.

References

[1] PSA Uniform Practices, SF-49