Indicative prices for Danish Mortgage Bonds V2
This papers purpose is threefold.
Firstly, we will address the changes in the Mortgage Market and how it influences our Indicative Pricing Model.
Then we will describe a new extended version for the calculation of Indicative Prices for Danish mortgage bonds calculated on NASDAQ, originally introduced in the paper “Indicative Prices for Danish Mortgage Bonds”, from 12. May 2017.
The extensions being:
• Be able to distinguish between a “valid” price jump and a “non-valid” price jump
• Explicitly incorporate price jumps that is associated when shifting from trading inclusive re-payment to trade exclusive re-payment
Thirdly, this paper will address the extension of the universe, which now also covers, Danish Floating-Rate Mortgage Bonds and Danish Government Bonds.
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