Unformatted text preview: 6. Question: Why can’t we use the binomial model to value an MBS 4. The concept of OAS – its computation (in Monte Carlo) and interpretation 5. Deciding whether an MBS security is Rich/Cheap using OAS analysis 6. Computation of Effective Duration using the Monte Carlo simulation model 7. Why does effective duration reported by various dealers and vendors differ? 8. Other duration measures: Cash flow, coupon curve and empirical and their limitations 9. Summarize nominal spread, zero volatility spread and OAS to evaluate a fixed income security 10. Analyze the interest rate risk of a security given the security’s duration, convexity, OAS or PVBP. 11. End of chapter questions – 1, 2, 7, 9, 11, 13, 14, 20 12. Homework problems...
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- Spring '12
- Finance, Monte Carlo methods in finance, OAs