Q4a. Price the pool under interest rate of 5%, 6% and 7%, while assuming the loan will

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Q4a. Price the pool under interest rate of 5%, 6% and 7%, while assuming the loan will be paid off in 8 years in all three cases.

Q4b. Calculate numerical convexity by comparing upside and downside duration for Q4a pricing.

Q4c. Price the pool under interest rate of 5%, 6% and 7%, while assuming the loan will be paid off in 5 years, 8 years, and 10 years in three cases respectively.

Q4d. Calculate numerical convexity by comparing upside and downside duration for Q4c pricing.

Related Book For answer-question

Fixed Income Securities Valuation Risk and Risk Management

ISBN: 978-0470109106

1st edition

Authors: Pietro Veronesi

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Posted Date: Jun 21, 2023 03:23 AM

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Q4a. Price the pool under interest rate of 5%, 6% and 7%, while assuming the loan will

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One If we assume the loan to be paid off for 8 years in the three cases under interest rates of 5 6 and 7 we can calculate the cost of the pool Here w... View the full answer

Fixed Income Securities Valuation Risk and Risk Management

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