www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputetheTheoreticalYieldtoMaturityofaMortgagePoolExample.m

    %% Compute the Theoretical Yield to Maturity of a Mortgage Pool  

% Copyright 2015 The MathWorks, Inc.


%% 
% Given an option-adjusted spread, a spot curve, and a prepayment assumption,
% compute the theoretical yield to maturity of a mortgage pool. First, create
% the bonds matrix: 
Bonds = [datenum('11/21/2002')  0        100  0  2  1;
         datenum('02/20/2003')  0        100  0  2  1;
         datenum('07/31/2004')  0.03     100  2  3  1;
         datenum('08/15/2007')  0.035    100  2  3  1;
         datenum('08/15/2012')  0.04875  100  2  3  1;
         datenum('02/15/2031')  0.05375  100  2  3  1];  

%% 
% Choose a settlement date. 
Settle = datenum('20-Aug-2002');  

%% 
% Assume the following clean prices for the bonds: 
Prices =  [ 98.97467;
            98.58044;
           100.10534;
            98.18054;
           101.38136;
            99.25411];  

%% 
% Use the following formula to compute spot compounding for the bonds: 
SpotCompounding = 2*ones(size(Prices));  

%% 
% Compute the zero curve. 
[ZeroRatesP, CurveDatesP] = zbtprice(Bonds, Prices, Settle);
ZeroCurve = [CurveDatesP, ZeroRatesP, SpotCompounding]  

%% 
% Assign the following parameters: 
OAS           = [26.0502; 28.6348; 31.2222];
Maturity      = datenum('02-Jan-2030');
IssueDate     = datenum('02-Jan-2000');
GrossRate     = 0.08125;
CouponRate    = 0.075;
Delay         = 14;
Interpolation = 1;
PrepaySpeed   = [0 50 100];  

%% 
% Compute the mortgage yield and bond equivalent mortgage yield. 
[MYield BEMBSYield] = mbsoas2yield(ZeroCurve, OAS, Settle, ...
Maturity, IssueDate, GrossRate, CouponRate, Delay, ... 
Interpolation, PrepaySpeed)