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Tag Archives: QuasiGeometric Series
Fast Formulas #3 (Followup): The Derivation
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
Fast Formulas #5: QuasiGeometric Series (The Other Trick)
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 Duration, Fast Formulas, Geometric Series, QuasiGeometric Series, Weighted Average Life
2 Comments