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%% Calculate Cash Flows for a Sequential Collateralized Mortgage Obligation (CMO) % Define the mortgage pool under consideration for CMO structuring using % |mbscfamounts| or |mbspassthrough| and calculate the cash flows with an % A and B tranche for a sequential CMO. % Copyright 2015 The MathWorks, Inc. %% MortgagePrincipal = 1000000; Coupon = 0.12; Terms = 6; % months % Calculate underlying mortgage cash flows [PrincipalBalance, MonthlyPayments, SchedPrincipalPayments, ... InterestPayments, Prepayments] = ... mbspassthrough(MortgagePrincipal, Coupon, Terms, Terms, 0, []); PrincipalPayments = SchedPrincipalPayments.' + Prepayments.' %% % Define CMO tranches, A and B. TranchePrincipals = [500000; 500000]; TrancheCoupons = [0.12; 0.12]; %% % Calculate cash flows for each tranche. [Balance, Principal, Interest] = ... cmoseqcf(PrincipalPayments, TranchePrincipals, TrancheCoupons, false)