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- 2011-5-26
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1) Yield curve shifts used to construct hedge are reasonable
2) Prepayment model is good estimator of CF changes when yield curve shifts
3) Monte Carlo simulation assumptions are realized
4) Avg price change for small yield curve changes is good approximation of how MBS will move (may not apply to cuspy-coupon) |
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发表于 2011-7-11 19:26
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