@article {Dynkin9, author = {Lev Dynkin and Jay Hyman and Vadim Konstantinovsky and Nancy Roth}, title = {MBS Index Returns}, volume = {8}, number = {4}, pages = {9--23}, year = {1999}, doi = {10.3905/jfi.1999.319241}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article explains returns calculation of the Lehman Brothers MBS index, including aggregation of the individual mortgage pass-through pools into generic MBS used in the index; pricing of the MBS generics; conventions used to calculate returns on these generics; and aggregation of security returns into index returns. An appendix offers a mathematical formulation of the conventions used to calculate index returns of MBS.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/8/4/9}, eprint = {https://jfi.pm-research.com/content/8/4/9.full.pdf}, journal = {The Journal of Fixed Income} }