Hi,
Does anybody know why in mortgage price/oas calculation, the industry standard is to use a very low number of simulation paths, only between 300-500, as opposed to 10000-100000?
Thanks!
What do you mean? Because of the computation resources required to price them?Hmm, I don't, but I worked with Jason at the time. Our rule of thumb was that we needed to buy one more computer for every other PRDC he sold.
I reached out to him at JP Morgan, but unfortunately he does not have a copy anymore either.Hmm, I don't, but I worked with Jason at the time. Our rule of thumb was that we needed to buy one more computer for every other PRDC he sold.
Unfortunately I already used my free trialRegister for a free trial of Risk.net and you can read that paper.
https://www.risk.net/derivatives/1526705/all-power-prdc-notes