Tag Archives: Quasi-Geometric Series

Fast Formulas #3 (Follow-up): The Derivation

Posted on July 1, 2013 by Win Smith

Fast Formulas #3: Pool Average Life with CPR Prepayments presented Formula 3.1., a compact formula for the weighted average life of a homogeneous loan pool assuming a constant prepayment rate.  I wrote that the formula took a few pages and “a couple … Continue reading →

Posted in Bonds, Fast Formulas, Math, Mortgage-Backed Securities | Tagged , , , , | 2 Comments

Fast Formulas #5: Quasi-Geometric Series (The Other Trick)

Posted on March 1, 2013 by Win Smith

In Fast Formulas #3: Pool Average Life with CPR Prepayments,  I described Formula 3.1., a compact formula for the average life of a prepaying loan pool, and  I wrote that the formula had been found by using  “a couple of … Continue reading →

Posted in Fast Formulas, Math, Uncategorized | Tagged , , , , | 2 Comments