TY - JOUR T1 - A Simple, Transparent, and Accurate Mortgage<br/>Valuation Yield Curve JF - The Journal of Fixed Income SP - 37 LP - 44 DO - 10.3905/jfi.2012.22.3.037 VL - 22 IS - 3 AU - Robert A. Jarrow AU - Donald R. van Deventer Y1 - 2012/12/31 UR - https://pm-research.com/content/22/3/37.abstract N2 - This article presents a simple method for generating a primary mortgage loan yield curve using the relation, derived herein, between a coupon-bearing mortgage loan’s value and a portfolio of equal risk mortgage zero-coupon bonds. This new methodology is transparent because it is based on readily available government data. We provide an example to illustrate the computations involved.TOPICS: Real estate, MBS and residential mortgage loans, big data/machine learning ER -