Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

Does anybody have experience in valuation of mortgage backed floating notes? I have task to value the 4 different MBS floating notes. I know that it should be done through montecarlo, refinancing function should be created to consider the effects of prepayment. Need more exact and detailed advice on steps should be taken.

I am interested if it makes sense to go with short way. To treat the floaters as regular floaters and value them as regular floater, then adjust for the prepayment and credit risk.

any papers or advice from experienced professional are highly appreciated.

Thank you

share|improve this question
1  
more information needed. Provide details of the notes then maybe it makes it clearer what is necessary. –  Matt Wolf Oct 22 '13 at 6:04
    
Are you valuing commercial or residential backed securities? –  jeff m Oct 22 '13 at 12:59
    
both commercial and residential –  Pasha Oct 23 '13 at 15:25
add comment

Know someone who can answer? Share a link to this question via email, Google+, Twitter, or Facebook.

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.