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标题: Single Monthly Mortality Rate [打印本页]

作者: dontknow1987 时间: 2011-9-24 23:48 标题: Single Monthly Mortality Rate

Hi friends,

I was having confusion regarding how the CPR (conditional prepayment rate) vs SMM was derived.

Kindly let me know where I am going wrong..

CPR = (1+SMM)^(12) - 1 --> Assumption is SMM is monthly and the compounded value should give CPR which is yearly rate.

So SMM = (1+CPR)^(1/12) - 1

But the formulae given in the book is 1 - (1 - CPR)^1/12.

Kindly help me clear my confusion please.

thank you friends!

作者: HuskyGrad2010 时间: 2011-9-24 23:59

CPR = 1 - (1-SMM)^12

so if CPR is 6% --> SMM = 0.005143

not the other way around as you have it....

based on the above - SMM = 1 - (1-CPR)^(1/12)

CP

作者: ryanlb 时间: 2011-9-24 23:59

I remember the formula as: 1 - CPR = (1 - SMM)^12

1 - CPR is the yearly survival rate
1 - SMM is the monthly survival rate

CPR is annualized SMM.

It's a small rearrangement, but I find it most intuitive.

作者: defour44 时间: 2011-9-25 00:10

Thank you friends! Very clear now.

regards,
Gopal.

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