Forums  > Pricing & Modelling  > Yield approximates effective coupon rate at 100 full price  
     
Page 1 of 1
Display using:  

alexli


Total Posts: 1
Joined: Mar 2019
 
Posted: 2019-03-05 16:07
I noticed something funny when looking at a CMO floater.

Could anyone let me know if the below statement is true or not?

I speculate that given a full price of 100% face value, YTM for a given cashflow path is only a function of coupon and NOT a function of amortisation (PO structure)

If this is true (or approx), could anyone advise me how to prove this?
Mathematical proof is beyond me... and i'd like to use this to test our mortgage model since simulated rates are easily observed.

Previous Thread :: Next Thread 
Page 1 of 1