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Over Six Decades of Yield Curve Animation

This spreadsheet is mostly for fun, but it does show the volatility of the Treasury yield curve. I took the yields from Federal Reserves  H.15 Selected Interest Rates, downloaded using FRED. I used the 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, and 30Y constant maturity rates,...
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Mortgage Pool Pricing Tool

In April I publish an amortization schedule and I did a poor job explaining what it could be used for. Amortization Model – All Variable was the post and AllVary is the spreadsheet. I added some more options to the spreadsheet, like: 1. A Yield/Market Value/Price table....
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Breaking Down the Mortgage Mega-Formula

Additional update to formula: MBS Math Formula. Servicing, CPR, Payment Delay, Default Rate & Loss Severity http://pistulka.com/Other/?p=2384 This post will probably not interest the average reader, but I have been so fascinated by this 40 some year old formula that I stuck away and have recently...
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Annuity – Excel Functions and Math

In August of 2014 I wrote a post called “Even Cash Flow Calculator” and published a spreadsheet along with it called “EvenMultCashFlows“. Read “Even Cash Flow Calculator” for more about the spreadsheet. I made some improvements to the spreadsheet, including the math equivalent for each Excel function...
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Defeasance 2.0

  A newer version of this post and spreadsheet is available here: Defeasance 3.0  A reader was asking about my original post on defeasance where I used the Treasury strip yields to discount a stream of loan payments to provide an estimate of the prepayment penalty on...
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