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Andrew Davidson Adds Models to its Rate Library.(Brief Article)
Andrew Davidson & Co. has added two new term structure models to its tools designed for the analysis of mortgage and asset backed securities.
The company said a detailed examination of the implications of a prolonged period of relatively low interest rates and implied volatility skew for swaptions on the valuation of mortgage-backed securities led the company to expand its selection of term structure models.
Because different interest rate environments warrant varied term structure models, Andrew Davidson & Co. has responded by offering a choice of models, the company said. The company's analytics can also be incorporated into models used for valuing mortgage servicing rights.
The company now offers a recently enhanced Black Karasinski model and has added a Squared Gaussian model and a Hull White model, which have been implemented into the firm's option adjusted spread subroutines.
Each of the available models is based on a different distribution of interest rates over time. Depending upon ...
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Source: HighBeam Research, Andrew Davidson Adds Models to its Rate Library.(Brief Article)