 
In general, for securities other than mortgages, cash, equities, and variable
rates, the ticket's maturity date value is used in determining the average
maturity value.
Bonds
First you need to compute the stated maturity date, because the rest of the
date calculation requires it to be set correctly:
If the bond is prerefunded and a call date/price exist, the call date is
used.
If the bond has a mandatory put and a put date/price exist, the put date
is used.
If an override maturity date is passed from a ticket, the override date
is used, even if the ticket maturity date is longer than the CUSIP.
Otherwise the maturity date on the product table is used.
Now you compute the effective maturity date by looking at exceptions relative
to the stated maturity date. If a variable rate reset date and/or put date
exists,
If the variable rate period is rolling, the reset date is assumed to be
the number of days implied by the variable rate frequency (weekly = 7,
etc.). Otherwise the stated variable rate reset date is used in subsequent
calculations.
If the stated maturity is <= 397 days, the SHORTER of the variable
rate reset date or the put date (depending on which exist) is used.
If the stated maturity is > 397 days, the LONGER of the variable rate
reset date or the put date (depending on which exist) is used.
Otherwise the stated maturity date (as modified above) is used.
Mortgages
The preferred average maturity calculation uses the prodcalc "Average
Life" value. If that value is 0, then the system looks at the
product.mbs_wam value. If it is nonzero, the WAM is converted from months into
a fractional number of years. If neither the average life or the WAM is
available, then the system falls back to the stated maturity date to determine
the average maturity. Ultimately, all of these values are converted such that
Effective_Maturity_Date = (Settlement Date + (Average Life In Years * 365.25)).
Cash & Daily Variable Rate Securities:
Average Maturity is 1 day for cash and equivalents, and for daily variable
rate securities.
Last updated: 04/28/05
