Question
What is the OAS on the MBS with the following characteristics: 1. Coupon rate: 9.5% 2. Current market price: 97.75 3. Forward rate at T=0,
What is the OAS on the MBS with the following characteristics:
1. Coupon rate: 9.5%
2. Current market price: 97.75
3. Forward rate at T=0, 1.95%, Forward rates at T=1 +/- 75bps from T=0 rate, Forward rates at T=2 6%, 4%, and 4% from top to bottom of the forward rate tree
Submit your response in X.XXX% out to 3 decimals.
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Finance For Executives Managing For Value Creation
Authors: Gabriel Hawawini, Claude Viallet
6th Edition
1473749247, 9781473749245
