This module consists of very general and flexible functions for calculating a variety of different cash flows, prepayment schedules, survival rates, pricing functions and term structure risk functions for the instrument type PassThrough. Pass throughs are the basis for many different kinds of mortgage backed instruments, i.e. collateral mortgage obligation, principal only, interest only etc.

 Note that it is possible to define an adjustable rate mortgage backed obligation by combining a PassThrough with a Float. Refer to the Floaters module. Refer also to the Bonds module where non-convertible annuities are treated.

Contents

9.1 Introduction

Summary -- Context -- This Opens the Package

9.2 Objects

PassThrough

9.3 Cash Flow

Non-Calendar Time

PeriodicPrepaymentRate -- SurvivalRate -- OutstandingPrincipal
ScheduledRepayment -- ScheduledCoupon -- ScheduledCashFlow
Prepayment -- CashFlow

Calendar Time

OutstandingPrincipal -- ScheduledRepayment -- ScheduledCoupon -- ScheduledCashFlow -- Prepayment -- CashFlow

9.4 Pricing

Non-Calendar Time

PresentValue -- ImplicitYield

Calendar Time

PresentValue -- ImplicitYield

9.5 Static Risk

Non-Calendar Time

TermStructureRisk

Calendar Time

TermStructureRisk

9.6 PassThrough Related Products

CMO's -- Strips