PT  - JOURNAL ARTICLE
AU  - Robert A. Jarrow
AU  - Donald R. van Deventer
TI  - A Simple, Transparent, and Accurate Mortgage<br/>Valuation Yield Curve
AID  - 10.3905/jfi.2012.22.3.037
DP  - 2012 Dec 31
TA  - The Journal of Fixed Income
PG  - 37--44
VI  - 22
IP  - 3
4099  - https://pm-research.com/content/22/3/37.short
4100  - https://pm-research.com/content/22/3/37.full
AB  - 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