RT Journal Article SR Electronic T1 A Simple, Transparent, and Accurate Mortgage
Valuation Yield Curve JF The Journal of Fixed Income FD Institutional Investor Journals SP 37 OP 44 DO 10.3905/jfi.2012.22.3.037 VO 22 IS 3 A1 Robert A. Jarrow A1 Donald R. van Deventer YR 2012 UL https://pm-research.com/content/22/3/37.abstract AB 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