Category Archives: Mortgage
RMBS Prototype Model in Python
Posted by Shawn Zhang
on April 18, 2013
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Parameters
Parameters including : Total balance , Attach point, mortgage rate , Tranche Rate, Payment term and Prepayment CPR .
 Cash Flow Chart result:
Full code(2 functions):
def rmbs_show(self):
self.clr_update_frame()
Label( self.update_frame, text="CPR" ).grid( row = 0, column= 0 )
w = Scale( self.update_frame, from_=0.01, to=0.20, resolution = 0.005, orient=HORIZONTAL, variable=self.rmbs_cpr, showvalue = True )
w.grid(row = Read more [...]
A Walk-through on Modeling MBS/Tranche in C#
Posted by Shawn Zhang
on April 12, 2013
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Modeling on MBS/Tranche involves 3 entities . Mortgages , Mortgage Pool and Tranches . Mortgage Pool is key in this relationship . Mortgage Pool collects cash flows from Mortgages and redistribute into different Tranches.
Class MortgagesPool
One Mortgage Pool has many Mortgages and One Mortgage Pool has many Tranches. So , the class of Mortgage Pool may like this :
class MortgagesPool{
public ArrayList tranches = new ArrayList();
public ArrayList mortgages = new ArrayList();
// add a Read more [...]
Fix Rate Mortgage Calculation in R
Posted by Shawn Zhang
on March 15, 2012
No comments
Foundation of Mortgage Calculation
Mortgage is a loan for buying a residential or commercial real estate which use underlying real estate as collateral . Borrower have to pay certain amount on every month during the mortgage period .(in US, it up to 30 years ). the amount  is determined by following formula :
T stands for Loan Term (in months) and r stands for monthly interest rate.
As Read more [...]
T stands for Loan Term (in months) and r stands for monthly interest rate.
As Read more [...]