标题: MBS valuation using Monte carlo simulations [打印本页] 作者: ruchita 时间: 2011-7-11 19:47 标题: 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作者: scarecrow 时间: 2011-7-11 19:47
not sure what more you're looking for, the very basics are there and that should be all you need to know: use a MC simulation to generate thousnds of random rate paths to value the bond.
