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Published May 14, 2022 | Version v1
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Rate Lock Model

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Description

Rate lock is a derivative on fixed rate and adjustable rate mortgages. Fallout functions are specified for various types of rate locks, and depend on several factors including source of rate lock and mortgage type. Like the prepayment models, these fallout functions are based on analysis of historical data and these have a significant impact on the risk measures of these rate locks.

Notes

https://osf.io/preprints/inarxiv/3p7fy/download

Files

rateLock.pdf

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