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Single monthly mortality rate given PSA speed


[CPRPSA,SMMPSA] = psaspeed2rate(PSASpeed)



[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.


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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);

% view the plot of the output

Input Arguments

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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

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

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


[1] PSA Uniform Practices, SF-49

Introduced before R2006a