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Abstract
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
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Valuation Yield Curve
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