An analysis of a cmo structure using the monte carlo method, Finance Basics

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An analysis of a cmo structure using the monte carlo method

Question: An analysis of a CMO structure using the Monte Carlo method indicated the following, assuming 12% volatility:

a. Calculate the option cost for each tranche.

b. Which tranche is clearly too rich?

c. What would happen to the static spread for each tranche if a 15% volatility is assumed?

d. What would happen to the OAS for each tranche if a 15% volatility is assumed?

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Finance Basics: An analysis of a cmo structure using the monte carlo method

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Finance Basics: An analysis of a cmo structure using the monte carlo method

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