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- 2011-7-11
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- 2016-4-19
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MBS valuation using Monte carlo simulations
Can somebody provide a good description of MBS valuations using Monte Carlo simulations. I get the general principle i.e. multiple i-rate trees with different i-rate distributions and CPR assumptions, computing average values and then inferring present values, computing OAS based on the difference between the average value and market price, but I'd like to check my understanding...
Mike |
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发表于 2011-7-11 19:47
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