固定收益串讲.pptVIP

* h. explain other measures of duration used by practitioners in the mortgage-backed market (e.g., cash flow duration, coupon curve duration, and empirical duration), and describe the limitations of these duration measures; * h. explain other measures of duration used by practitioners in the mortgage-backed market (e.g., cash flow duration, coupon curve duration, and empirical duration), and describe the limitations of these duration measures; * i. determine whether the nominal spread, zero-volatility spread, or option-adjusted spread should be used to evaluate a specific fixed income securit * j. describe and evaluate a convertible bond and its various component values; * j. describe and evaluate a convertible bond and its various component values; * j. describe and evaluate a convertible bond and its various component values; * j. describe and evaluate a convertible bond and its various component values; k. compare and contrast the risk-return characteristics of a convertible bond with the risk-return characteristics of ownership of the underlying common stock. * * a. describe a mortgage loan and illustrate the cash flow characteristics of a fixed rate,level payment, and fully amortized mortgage loan; * b. illustrate the investment characteristics, payment characteristics, and risks of mortgage passthrough securities; * c. calculate the prepayment amount for a month, given the single monthly mortality rate; d. compare and contrast the conditional prepayment rate (CPR) with the Public Securities Association (PSA) prepayment benchmark; * e. explain why the average life of a mortgage-backed security is more relevant than the security’s maturity; * f. explain the factors that affect prepayments and the types of prepayment risks; * g. illustrate how a collateralized mortgage obligation (CMO) is created and how it provides a better matching of assets and liabilities for institutional investors; * h. distinguish among the sequential pay tranche, the accrual tranche, the