Pricing and Hedging Interest and Credit Risk Sensitive Instruments

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Contents:

  • 18. Modeling Mortgage Prepayments and Valuing Mortgages

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    These investors will occasionally trade so we can obtain up-to-date prices for these bonds. We now run OLS regressions on these 10 data points to obtain least squares estimates of the parameters a, b and c. Using the last example, the yield on all accepted bids would be 5. The first element is the real rate of return. Therefore we see that seven-year bonds are the preferred investment or preferred habitat in the parlance of the preferred habitat hypothesis. Many sovereigns offer concessionary tax rates on capital gains. Notice that we are using the same discount rate the yield to maturity of 8.

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