Latest Posts
• ## Monte Carlo Yield Curve Forecasting

This is a stochastic tool that uses forecasts of what the Treasury yield curve will look like in six months, and generates holding period returns (total returns) at various points...
• ## 24 Time Value of Money Calculations in One Excel Workbook

I thought I would consolidate some of the past posts and spreadsheets into one workbook. It could come in handy when you need some quick...
• ## 3 -Ways to Bootstrap Spot Rates for the Treasury Yield Curve

Note: I have added a fourth method of calculating spot rates for the Treasury yield curve. The workbook is the same. For a brief explanation...
• ## 4-Factor Prepayment Model

In previous posts, I have covered CPR, PSA, and a spreadsheet that allows for any prepayment vector you might want to create. There have been...
• ## Floater & Inverse-Floater CMO

This is a follow-up to my last post, Sequential Pay CMO. The purpose of this example spreadsheet is to show a simple example of how...
• ## Sequential Pay CMO

A reader ask me if I had published a sequential pay CMO example. I had not. I did start a spreadsheet at one time, but never completed it. I...
• ## Effective Duration, Convexity, and Convexity Adjustment For Loans

This is an update of a post and spreadsheet I wrote in Oct. of 2014 called: “Modified & Effective Duration, Plus Convexity of a Loan”. ...
• ## Simplified Linear Interpolation of Treasury Rates

In August of 2014 I showed a spreadsheet for interpolating a yield, given a range of dollar prices. That post was call Interpolation. I thought...
• ## Math for amortization rows with CPR, Servicing, CDR, & Loss Severity

First, let me say that this is my 100th post and spreadsheet. I started in August of last year. If this spreadsheet looks a lot like...
• ## Math for amortization rows with CPR and Servicing

After you read this post, check out my updated post   In my post called The Math Behind Excel’s CUMIPMT() & CUMPRINC() Functions I showed how...
• ## Calculating Historical CPR

There is a newer post that replaces the amortization schedule to calculate historic PSA with a UDF: http://pistulka.com/Other/?p=2964   Back in December of 2014 I...
• ## Certificate of Deposit Ladder Optimizer

There are all kinds of calculators you can find to “optimize” your rate of return by laddering certificates. Of course the term optimize is a...
• ## Conforming the “Mega” MBS Formula to Street Conventions

See updated formula at: MBS Math Formula. Servicing, CPR, Payment Delay, Default Rate & Loss Severity http://pistulka.com/Other/?p=2384 This adjustment to the mega formula for mortgage-backed...
• ## Chained Returns

Calculating the total rate of return on a chain of returns produces a time weighted rate of return. I covered this in my post “Time...
• ## Rule of 78

If you normally sell your car before it is paid off, you are going to want to stay away from lenders that still use the Rule...