Exercise 29.1.13 Show that a pass-through backed by traditional mortgages with a mortgage rate equal to the
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Exercise 29.1.13 Show that a pass-through backed by traditional mortgages with a mortgage rate equal to the market yield is priced at par regardless of prepayments.
Assume either zero servicing spread or a pass-through rate equal to the market yield. (Prices of par-priced pass-throughs are hence little affected by variations in the prepayment speed.)
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Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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