Published June 1988
| public
Journal Article
Adjustable Rate Mortgages: Valuation
- Creators
- Berk, Jonathan
- Roll, Richard
Abstract
A simulation method is employed to value Adustable Rate Mortgages, (ARMS). It is used to price two typical instruments: an ARM linked to a Treasury interest rate and an ARM linked to a "Cost of Funds" Index. Contractual provisions such as the margin over the index, caps and floors on the ARM's rate or on the monthly prepayment, reset frequency, and the "teaser" rate are examined for their influence on value. The effects of interest rate trend and volatility are also analysed.
Additional Information
© Kluwer Academic Publishers 1988. This paper was written when both authors were employees of Goldman, Sachs & Co. in New York. The material in this paper is for private information, and Goldman, Sachs & co. is not soliciting any action based on it. Opinions expressed are the authors present opinions only. The material is based upon information which Goldman, Sachs & Co. considers reliable; but it does not represent that the material is accurate or complete, and it should not be relied upon as such. Goldman, Sachs & Co. may from time to time have a long or short position in, and buy or sell, securities mentioned.Additional details
- Eprint ID
- 95046
- Resolver ID
- CaltechAUTHORS:20190426-145911014
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2019-04-26Created from EPrint's datestamp field
- Updated
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2021-11-16Created from EPrint's last_modified field