Products

UniCredit Bank Austria Develops and Rapidly Deploys a Consistent, Enterprise-Wide Market Data Engine

“Many financial institutions are struggling to adapt their models to the volatility and limited availability of credit in today’s markets. Using MathWorks products, we can develop and deploy models in response to new market conditions in days or weeks, instead of months.” —Peter W. Schweighofer, UniCredit Bank Austria

  • Contact Us
  • Bookmark and Share

Fixed-Income Toolbox

View Data Sheet
Free Technical Kit

Description

Mortgage Pool and Balloon Mortgage Pricing

Fixed-Income Toolbox lets you model generic fixed-rate mortgage pools and balloon mortgages. The toolbox provides tools to calculate price and yield of mortgage-backed securities using prepayment options derived from uniform practices of the Public Securities Association (PSA). You can calculate the mortgage-pool price or effective duration using the option adjusted spread method for your mortgage pool. You can also measure the risk for a mortgage-pool portfolio using convexity, duration, and average life calculations.

 

50821 wm fxt2 fig6 w

Plots of mortgage pool monthly cashflows (left) and mortgage balance (right) for two conditional payment rates.

Previous