What is the OAS on the MBS with the following characteristics: 1. Coupon rate: 9.5% 2. Current market price: 97.75 3. Fo

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answerhappygod
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What is the OAS on the MBS with the following characteristics: 1. Coupon rate: 9.5% 2. Current market price: 97.75 3. Fo

Post by answerhappygod »

What is the OAS on the MBS with the following
characteristics:
1. Coupon rate: 9.5%
2. Current market price: 97.75
3. Forward rate at T=0, 1.95%, Forward rates at T=1 +/- 75bps
from T=0 rate, Forward rates at T=2 6%, 4%, and 4% from top to
bottom of the forward rate tree
Submit your response in X.XXX% out to 3 decimals.
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