标题: 关于MBS与ABS的absolute valuation!大侠指教！！ [打印本页]

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作者: pogo    时间: 2012-6-15 11:05     标题: 关于MBS与ABS的absolute valuation!大侠指教！！

求解释：为什么tranch trading at premium(discount)will see gain(loss)when the assumed prepayment rate decrese???,NOTES 没解释，自己想不明白！！

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作者: sabre    时间: 2012-6-15 11:05

没有大侠解答啊，自己顶一下！

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作者: d2rockstar    时间: 2012-6-15 11:05

谁来回答啊，这个我也不知道

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作者: former    时间: 2012-6-15 11:05

premium: prepayment rate decrease-longer WAM- receive higher coupon during longer period
discount: prepayment rate decrease-longer WAM- receive lower coupon during longer period

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作者: DarienHacker    时间: 2012-6-15 11:05

book5 page 483

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