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Derivatives Expert Example: Mortgage-Backed Obligations

Innova Financial Solutions
Organization: Innova Financial Solutions
URL: http://www.ifs.dk

In this example we show some of the Derivatives Expert functionality for working with mortgage-backed obligations (MBOs) such as PassThrough, based on the PSA method. Much functionality in Derivatives Expert can either be done in non-calendar time or in calendar time. Working in non-calendar time is often faster for doing quick calculations. If more precise real-life examples have to be calculated, one can thereafter work in precise calendar time incorporating business days, holiday calendars, etc. Examples are shown in both non-calendar and calendar time.

*Mathematica Technology > Application Packages > Applications from Independent Developers > Derivatives Expert
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Mortgages.nb (27.8 KB) - Mortgage-Backed Obligations example notebook [for Mathematica 7.0]