about OAS model for adjustable-rate mortgages - wilmott.com

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leobu: Posts: 0; Joined: July 30th, 2007, 6:52 am

about OAS model for adjustable-rate mortgages

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#1

January 5th, 2008, 10:43 am

Where can I find the materials about OAS model for adjustable-rate mortgages?Your help will be highly appreciated. Bu


quantmeh: Posts: 0; Joined: April 6th, 2007, 1:39 pm

about OAS model for adjustable-rate mortgages

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#2

January 5th, 2008, 5:11 pm

very basic and well presented material's in Andrew Davidson's workbook on MBS.


leobu: Posts: 0; Joined: July 30th, 2007, 6:52 am

about OAS model for adjustable-rate mortgages

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#3

January 6th, 2008, 7:16 am

thanks a lot, by the way, do you know where can i find the matlab code about using monte carlo method to compute the OAS value of adjustable-rate mortgages?