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- 2014-2-19
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1. UL decreases, EL unchanged (linearity/non-linearity)
2. (Guess) Cash flow mapping is most precise, given the large maturity difference, principle mapping under long time horizon may show large deviation; duration may be okay
3. Compare Normal model and CIR/Lognormal; CIR/longnormal is always positive (and skew to the right)
note that CIR may show large deviation from normal model for OTM options. |
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发表于 2014-3-6 13:14
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