CFAI Text Vol 4 P.183~185. Although this has been discussed before, I am still confused.
1. What is the definition of "Cuspy coupon MBS" ?
2. In Exhibit 6
A. What is "current coupon"
B. What is "Cuspy Coupon"
C. Is it that the tangent point (marked as "Cuspy Coupon") is the point that the convexity turns from positive to negative ?
Advice from anyone who has a good understanding will be appreciated.作者: Zestt 时间: 2011-7-11 19:21
mortgage security for which changes in interest rates have large effects on prepayments, hence on price.作者: zwjy 时间: 2011-7-11 19:21
