不是说15years吗，请问为什么要用12年呢？

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%.

0.427%.

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

$S M M = 1 - {(1 - C P R)}^{1 / 12} = 1 - {(1 - 0.05)}^{1 / 12} = 1 - {0.95}^{1 / 12} = 0.43 %$

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！

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品职答疑小助手雍 · 2022年03月23日

同学你好，题目给的条件是conditional prepayment rate (CPR)也就是年化提前还款率是5%，问月度的是多少，一年有12个月。

这题和15其实没啥关系，干扰因素。

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NO.PZ2019052801000107问题如下 If the contionprepayment rate (CPR) for a pool of mortgages is assumeto 5% on annubasis anthe weighteaverage maturity of the unrlying mortgages is 15 years, whiof the following amounts is closest to the .constant maturity mortality? 0.333%. 0.405%. 0.427%. 0.5%. C is correct. The constant maturity mortality (or single monthly mortality rate) is a monthly measure. Its relationship to CPR is follows:（1-SMM）12 =1-CPR SMM=1− (1−CPR) 1/ 12 =1− (1−0.05) 1/ 12 =1− 0.95 1/ 12 =0.43%解析已知CPR=5%p.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

2023-04-05 16:45 1 · 回答

NO.PZ2019052801000107 If the contionprepayment rate (CPR) for a pool of mortgages is assumeto 5% on annubasis anthe weighteaverage maturity of the unrlying mortgages is 15 years, whiof the following amounts is closest to the .constant maturity mortality? 0.333%. 0.405%. 0.427%. 0.5%. C is correct. The constant maturity mortality (or single monthly mortality rate) is a monthly measure. Its relationship to CPR is follows: SMM=1− (1−CPR) 1/ 12 =1− (1−0.05) 1/ 12 =1− 0.95 1/ 12 =0.43% the .constant maturity mortality等于SMM？不太理解

2021-03-21 14:57 2 · 回答

不是说15years吗，请问为什么要用12年呢？

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