Answer the below questions. (a) What assumption is made about the OAS in calculating the effective duration

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Answer the below questions.
(a) What assumption is made about the OAS in calculating the effective duration and effective convexity of a RMBS?
(b) Is it warranted?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:41 AM

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Answer the below questions. (a) What assumption is made about the OAS in calculating the effective duration

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a There is a problem with calculating price sensitivity measures such as interestrate and prepayment ...View the full answer

Bond Markets Analysis and Strategies

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