标题: Why No Call Spread? Reading 23 Problem 3 [打印本页] 作者: needhelp1700 时间: 2013-4-3 01:15 标题: Why No Call Spread? Reading 23 Problem 3
Reading 23, Problem 3, why does the CFA not add the 0.8 call risk spread to the 10 year MBS after stating that the MBS is callable?作者: ryanlb 时间: 2013-4-3 01:19
I did this problem like 3 months ago. I think there was a footnote that said it was included in some other spread measure or something.作者: genuinecfa 时间: 2013-4-3 01:23
0.95% is the prepayment risk (risk of MBS being called), which they have added. It’s different from 0.80%, the call spread for the 10-year callable bond.作者: Chuckrox8 时间: 2013-4-3 01:27
oh, they translated “prepayment” into “callable”. That’s tricky. Thanks作者: DarienHacker 时间: 2013-4-3 01:31
may have been an issue in the errata for this one, if my memory serves me correctly. which it hasn’t lately.
