mbs_cvx

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mbs_cvx_b

mbs_cvx_b (routine)

Mortgage backed security - calculates convexity with balloon payment

Introduced in release: 1.0
Component: US MBS
Purpose: Calculates convexity for a mortgage backed security with a balloon payment. It uses as input the monthly cash flows.

Notes: This routine takes as input cash flows which must first be calculated.

 To calculate the cash flows for a Fixed Rate MBS use mbs_gen_tbls.
 To calculate the cash flows for a GPM use mbs_gentblsg.
 To calculate the cash flows for an ARM use arm_gen_tbls. See Coding Examples for a more detailed explanation.

Results: The result is returned as the value of the function, accurate to as many places as supported by a double precision value.

Error Conditions: Returned values should be ignored for a non-zero status. See Errors.

Last Mod Date: 11/26/1996

Doc Version: 5.0