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I can't speak for all structured products but valuing a MBS is straight-forward, but not easy. It's straight-forward because you just need to calculate the net present value of the discounted cash flows. That said, accurately determining those cash flows is hard. The most difficult cash flows to determine--prepayments and defaults/severity--also have the ...


4

There's a paper by Fabio Mercurio called "Smiling at Convexity" which discusses this and proposes doing basically what you've done, namely setting beta to match the market prices of CMS swaps. In the Hagan et. al. SABR paper they discuss ways of setting beta based on plotting ATM vols versus the forward rates. The idea here is to plot log vol vs log fwd ...


3

In my estimation, you are best-served by creating these sheets from scratch. There are a number of reasons for this: You will thoroughly understand the underlying machinations of each calculation You can customize to your specific needs, and so on... If you are looking for some decent introductory texts, I have benefited from Moyer Excel Templates. More ...


2

Mortgage backed securities are valued by calculating the net present value (NPV) of cash flows they are expected to generate. These cash flows are predicted using a model that incorporates all the contractual characteristics of the security and the underlying loans, as well as assumptions on things like prepayment speed, default speed, loss severity, and ...


2

The framework for valuing structured finance products in general is based on the nature of the cashflows in the product. Decompose the constituent components of the structure. Make some choices about handling the correlations between assets in the structure. Review the covenants of the structure and their impact on the cashflows (sequence of events). ...


1

I'm not aware of any exercises. You do not mention whether you tried Google. A good set of spreadsheets is on the Home Page for Aswath Damodaran. You could convert it into "exercises" by first working through them yourself and then comparing to Damodaran's solution (or whether it gives the same results).



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