%0 Journal Article %A Robert A. Jarrow %A Donald R. van Deventer %T A Simple, Transparent, and Accurate Mortgage
Valuation Yield Curve %D 2012 %R 10.3905/jfi.2012.22.3.037 %J The Journal of Fixed Income %P 37-44 %V 22 %N 3 %X 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 %U https://jfi.pm-research.com/content/iijfixinc/22/3/37.full.pdf