(a)If you are given a simple OAS model (such as the the Excel model provided in class), write down the steps to calculate the duration and convexity of each type of asset i.e. the Mortgage passthrough, the PO and the IO
Requirements: one day
(a)If you are given a simple OAS model (such as the the Excel model provided in class), write down the steps to calculate the duration and convexity of each type of asset i.e. the Mortgage passthrough, the PO and the IO
Requirements: one day
Leave a Reply
You must be logged in to post a comment.