Problem
A. Is my understanding of CPR and SMM correct ? My understanding is that for example, you have a 1-month Mortgage Pass-through Security. The CPR (year percentage) of it is 0.2%. If I want to prepay, the monthly percentage of CPR, which is SMM, is 1-(1-0.2%)^(1/12).
B. Why the gross coupon interest is calculated by WAC multiply the outstanding balance ? What does gross coupon interest mean?