mbsyield2(type;cpn;wac;term;wam;wala;dly;setl;pptype;pprate;p)

Returns the mortgage-backed security (MBS) yield given price (general).

Syntax

mbsyield2(type;cpn;wac;term;wam;wala;dly;setl;pptype;pprate;p)

Input

Argument Type Description
type text The MBS type used for determining payment delays. For more information, see MBS type.

A text value or the name of a column
cpn integer or decimal The passthrough rate expressed as a percentage

A scalar value or the name of a column
wac integer or decimal The weighted average coupon (WAC) of the underlying mortgages, expressed as a percentage

A scalar value or the name of a column
term integer The original term (in months) of the underlying mortgages

A scalar value or the name of a column
wam integer the weighted average remaining term (in months) of the underlying mortgages

A scalar value or the name of a column
wala integer The weighted average age in months of the underlying mortgages

A scalar value or the name of a column
dly integer The interest-free delay in days, e.g. 14 for a GNMA I

A scalar value or the name of a column
setl integer The settlement date

The setl argument must be a valid date and cannot be a column name or N/A.
pptype text The prepayment rate type
Valid values are:
  • 'CPR'
  • 'SMM'
  • 'PSA'

A text value or the name of a column
pprate integer or decimal The prepayment rate expressed as a percentage

A scalar value or the name of a column
p integer or decimal the price (without accrued interest) expressed as a percentage

A scalar value or the name of a column
Note: One of the arguments must reference a column. This does not include setl, which cannot be a column name.

Return Value

Returns the price (without accrued interest) expressed as a percentage.

The mbsyield2(type;cpn;wac;term;wam;wala;dly;setl;pptype;pprate;p) function handles N/A values as follows:
  • If type, cpn, wac, wam, pptype, pprate, or p are N/A, the result is N/A.
  • If term is N/A, it assumed to be 360.
  • If wala is N/A, it is assumed to be the difference between term and wam.
  • If dly is N/A, it is determined from type.
Note: 1010data has not audited these computations and takes no responsibility for their accuracy or precision. Please do not use the result of this function to trade securities without independently verifying the result.