When Cash Flows Don’t Match Compounding Periods

In a previous post Simple Formula for Converting Compound Interest Rates and spreadsheet, I showed a conversion formula that allowed the user to convert an interest rate from one compounding period to another equivalent compounding period. For example, you could calculate the annual equivalent for a monthly compound...
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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 out the curve. The results are based entirely on the users best-guess estimates of the shape of future yield curves. This...
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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 many attempts to describe what the prepayment pattern for MBS will look like in the future. One of the models that...
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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 floating and inverse-floating rate securities can be produced from a fixed rate pool of mortgages. It is not the only...
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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 worked on it over the weekend and came up with a simple, three tranche and residual sequential. I’m going to...
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