Question A .A mortgage pass-through security (PT) has a par value of $100,000, a 4% coupon paid monthly, and is based on 30 year mortgages. The current market rate for similar bonds is 3.5%, and prepayments currently equal $100 per month. Assume rates immediately rise to 4.5%, and prepayments drop to $40 as a result. The PT will now be paid off in month 310. What is the price of the PT today? A $184,274.6844 B $102,365.1248 C $98,323.2214 D $94,737.4877 Full explain this question and text typing work only      We should answer our question within 2 hours takes more time then we will reduce Rating Dont ignore this line

Operations Research : Applications and Algorithms
4th Edition
ISBN:9780534380588
Author:Wayne L. Winston
Publisher:Wayne L. Winston
Chapter17: Markov Chains
Section17.6: Absorbing Chains
Problem 11P
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Question A
.A mortgage pass-through security (PT) has a par value of $100,000, a 4% coupon paid monthly, and is based on 30 year mortgages. The current market rate for similar bonds is 3.5%, and prepayments currently equal $100 per month. Assume rates immediately rise to 4.5%, and prepayments drop to $40 as a result. The PT will now be paid off in month 310. What is the price of the PT today?

A $184,274.6844

B $102,365.1248

C $98,323.2214

D $94,737.4877


Full explain this question and text typing work only     
We should answer our question within 2 hours takes more time then we will reduce Rating Dont ignore this line

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