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solve with all steps, in excel: First Citizen Bank's managers are expecting a larger shift in the yields on their fixed - rate mortgage pool.
solve with all steps, in excel: First Citizen Bank's managers are expecting a larger shift in the yields on their fixedrate mortgage pool. Particularly, they expect the yield on the years fixedrate mortgages to shift upward from to that is a shift of percentage points. The principal value of this mortgage pool is $ million, interest rate is equal to yield initially and the mortgage is paid monthly and fully amortized ie the bank expects to rceive monthly equal payments on this mortgage pool Compute the convexity of this class of mortgages and show the impact of this shift in yield on their market value. Using convexity, show the impact on the value of this mortgage pool for a range of interest rates that varies between and with an increment of
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