I am working on a swaption hedging strategy. Part of this strategy calls for a forward looking indication of changes in implied volatility, using 1m10y implied as a proxy for movements across the rest of the surface. I came across the following paper which suits my scenario and approach well:
Perli and Sack use three variables to test whether the hedging activities of MBS holders has a material impact on swap rate volatility. In summary, they specify a Ordinary Least Squares regression with expected (implied) volatility of the 10Yr swap rate as the dependent against three explanatory variables:
- The Convexity of the MBS Market
- The Duration of the MBS Market
- The Amount of Mortgage Refinancing
I have Terminal access so I can use the MBA US Refinancing Index for the Refinancing independent. Perli and Sack state that their data set includes weekly observations from "the effective convexity and duration of the Merril-Lynch master mortgage index" but I can't find references to this index anywhere.
I've tried various other searches for a composite MBS Market Duration/Convexity index, to no avail. Any ideas as to where I could get data for the MBS Duration/Convexity inputs?