APR – Fixed Rate Mortgage

Given the inputs in yellow cells, check boxes and option buttons, this sheet uses an amortization schedule to calculate APR (or APY) for a fixed rate mortgage. Both Loan Balance and Interest Rate need no explanations. Truth in Lending Fees are additional dollar costs to the borrower to acquire the loan. Points represent a percent of […]

Modified & Effective Duration, Plus Convexity of a Loan

The spreadsheet has been changed for this post. Please go to: Effective Duration, Convexity, and Convexity Adjustment For Loans My last post showed the formula to calculate a Macaulay Duration on an amortizing loan. The definition of a Macaulay Duration I used was “an effort to more accurately measure the term of an option-free fixed […]

Macaulay Duration of an Amortizing Loan

The term “duration” is often used interchangeably by market participants to denote either a volatility measurement, a weighted term to maturity, or a portfolio risk measurement. In practice there is more than one definition of duration. The following describes the most basic duration along with it’s calculations. In a future posts we will discuss Modified Duration, Effective Duration, […]

Valuing Servicing Matrix

On August 26, 2014 I showed  an amortization schedule that could be used for initially valuing servicing. I introduced the use of constant prepayment rates (CPR) in order to get a more realistic pricing than assuming the pool of mortgages or commercial loans would never prepay. Considering the ease of refinancing and the mobility of the labor […]

Annuity

There is nothing special about this annuity calculator except: All input is with sliders Each line of the results are one cell text and formulas The dollar growth and payout balances are charted You can pick from monthly deposits or lump sum deposit Inputs: Outputs:   Download workbook “Annuity” from: http://www.pistulka.com/Excel_Shared/  Downloads Written in Excel […]

TDR – Decision Tree for Notice of Defaults

After the housing bubble crash, defaults on mortgage loans became a big problem for financial institutions. A large number of homeowners either could not or would not continue to make payments on homes that were “underwater” (home value less than the amount owed on mortgages and other liens). After 90 days of no payments, a […]

Sum Amounts Sold During Month & Year

You have a table of products, sales dates, and amounts: Objective: Sum all sales amounts , from the same product, during a certain month and year. Input in yellows cells only, any date within the month and year to be summed and a product code: The answer has two formulas that are the same formula except one […]

Simple Mortgage Refi Break-Even

If you do a search, you will find dozens of mortgage refinance calculators on the internet, most on sites of companies that want to sell you a new loan. The big problem with calculating break-even (when the new lower interest rate, will cover the cost to refinance) is: What happens to the difference in monthly payments Where did the money used to […]

Forward Rates Part 3: Spot Rates

A newer version with four bootstrap methods can be found at: A Forth Way To Bootstrap Spot Rates This method of calculating spot rates is referred to as the bootstrapping method. Each spot rate (or zero coupon) along the Treasury yield curve needs the previous spot rates, in order to discount the current securities coupon payments. […]