Our quantitative analysis consists of a weekly prepayment-risk-and-option-adjusted analysis of several agency passthrough markets. The analysis includes current, forward and static prepayment speeds, OAS, prOAS, effective duration/convexity, tuning durations and key-rate durations. Valuation is performed for both "physical" and "risk-neutral" prepayment versions of our model. Market data is from the close of every Friday |
