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Q2. You are pricing a 30Y fixed rate mortgage pool which is fully self-amortizing over 360 months. The size of the mortgage pass-thru pool is 100 million. The annual coupon rate of the pool is 7.5%. Payment is made monthly.

Q2a. Price the pool under market interest rate of 6.5%, 7.5% and 8.5% respectively, while assuming the loan will be fully paid off in 10 years in all three scenarios Q2b. Calculate numerical convexity by comparing upside and downside durations using Q2a pricing. (5 points) Q2c. Price the pool under market interest rate of 6.5%, 7.5% and 8.5%, while assuming the loan will be paid off in 7, 10, and 15 years in three cases respectively Q2d. Calculate numerical convexity by comparing upside and downside duration based on Q2c pricing.