mbsdurp
Duration of mortgage pool given price
Syntax
Description
[
computes the mortgage-backed security Macaulay (YearDuration
,ModDuration
] = mbsdurp(Price
,Settle
,Maturity
,IssueDate
,GrossRate
)YearDuration
)
in years and modified (ModDuration
) durations in years, given
time information, price at settlement, and optionally, a prepayment model.
[
specifies options using one or more optional arguments in addition to the input
arguments in the previous syntax.YearDuration
,ModDuration
] = mbsdurp(___,CouponRate
,Delay
,PrepaySpeed
,PrepayMatrix
)
Examples
Input Arguments
Output Arguments
References
[1] PSA Uniform Practices, SF-49
Version History
Introduced before R2006a