NO.PZ2019052801000107
问题如下:
If the conditional prepayment rate (CPR) for a pool of mortgages is assumed to be 5% on an annual basis and the weighted average maturity of the underlying mortgages is 15 years, which of the following amounts is closest to the .constant maturity mortality?
选项:
A.
0.333%.
B.
0.405%.
C.
0.427%.
D.
0.5%.
解释:
C is correct.
The constant maturity mortality (or single monthly mortality rate) is a monthly measure. Its
relationship to CPR is as follows:(1-SMM)12 =1-CPR
解析:已知CPR=5%p.a. 基础资产的平均到期日为15年,求constant maturity mortality也就是SMM是多少?
选C,
SMM=1-(1-CPR)^(1/12)=1-(1-5%)^(1/12)=0.427%
那个等式跟时间没关系吗?必须是12?谢谢