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- UID
- 223442
- 帖子
- 402
- 主题
- 11
- 注册时间
- 2011-7-11
- 最后登录
- 2016-4-19
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Regarding my question about extension risk:
If the PAC tranche is already paid at the minimum point of the collar (say PSA 90), how is extension risk mitigated by Support? PSA would have to drop below 90, and then you'd be outside the collar.
Also, are we supposed to be able to convert PSA to average maturity? I see the conversion being shown in various examples, but I haven't located a formula for doing so.
- Robert |
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发表于 2011-7-11 19:32
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