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: 0.333%.
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
请问我是那里理解错误了,为什么次方是12次而不是题目中说的15 underlying years?
感谢解答!