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- UID
- 217801
- 帖子
- 238
- 主题
- 115
- 注册时间
- 2011-5-24
- 最后登录
- 2012-9-12
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yup, and remember bonds with options where interest rates are not path dependent (like a callable corporate) need the OAS spread from the binomial model
bonds with options where interest rates are path dependent (MBS, certain ABS) need the OAS spread from Monte Carlo simulation ... |
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发表于 2011-7-13 13:07
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