Take the 2-minute tour ×  I need to model MBS coupon stack
prices. It would not be difficult to create something from
scratch, but I don't want to re-invent the wheel (and explain
why I did) if a somewhat standard model already exists. By
"somewhat standard", I mean models like those for the term
structure (e.g. Nelson-Siegel / Nelson–Siegel–Svensson or some
newer stuff by Diebold et al).  I would appreciate any pointers,
no matter how obscure.  share|improve this question Hi, good
question but could you please elaborate a little more on what is
the payoff of a " MBS coupon stack". Regards –  TheBridge Feb 9
'11 at 21:04 @TheBridge: The MBS coupon stack is the series of
prices for TBA (to-be-announced) MBS at various coupons. It's
not a security, it's a set of securities (like the term
structure is a set of bonds over different maturities). – 
Joshua Ulrich Feb 11 '11 at 20:11  1 Answer 1  up vote 1 down
vote accepted  I am not familiar with any formal "models" of the
TBA coupon stack similar to Nelson-Siegel