Scenario Dashboard: Rates, Speeds, WAL and Negative Convexity
This lesson is part of the course
In this lesson
You compare five fictional rate scenarios, compute each price change against the base case, measure effective duration and convexity when prepayments respond to rates, and chart the WAL by scenario.
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Lessons in this course
- The Mortgage Pool: Level Payments, Interest and Scheduled Principal Locked
- Prepayment Speeds: CPR, SMM and Prepaid Principal Locked
- Seasoning Ramps and Speed Multiples: 50%, 100%, 200% Locked
- Pass-Through Cash Flows: Servicing and Guarantee Fees Locked
- Weighted Average Life at Different Speeds Locked
- Price and Yield: Discounting the Pool's Cash Flows Locked
- Sequential Tranches: Who Gets the Principal First Locked
- Scenario Dashboard: Rates, Speeds, WAL and Negative Convexity Locked