Question
Consider a new mortgage pool with the following characteristics: fully amortizing annual payments; maturity = 10 years; fixed intrest rate = 10.00% per year; mortgage
Consider a new mortgage pool with the following characteristics: fully amortizing annual payments; maturity = 10 years; fixed intrest rate = 10.00% per year; mortgage principal = $20 million. The rate of prepayment is expected to be 10% per year. Assuming a yield to maturity of 10.00% per year, what would be the price today of the Interest-only strip for this mortgage pool?
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Introduction To Machine Learning In Quantitative Finance An Advanced Textbooks In Mathematics
Authors: Hao Ni, Xin Dong, Jinsong Zheng, Guangxi Yu
1st Edition
1786349361, 9781786349361
