The current value of a pass-through security is 80000 if, Ask an Expert

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The current value of a pass-through security is $800.00. If interest rates move 100bps up, the price is estimated to be $700.00 and if the rates go down 100bps, the price is calculated to be $850.00. These prices include both interest rate change impact and the PSA level change impact. What is the Effective Convexity of this security?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91784402

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