Mortgage Rates Calculator
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Goldman Sachs offers a CMM pricing calculator to help facilitate transactions in the nascent mortgage rate forwards market. We also provide an associated explanatory documentation. You can use the calculator to input your own assumptions for mortgage prices, durations, convexities and implied vols, and the calculator returns an implied forward mortgage rate for the specified forward date. The algorithm is primarily intended for evaluating short-dated CMM trades.
- CMM Public Calculator [Excel, 53KB]
- Associated Explanatory Documentation [PDF, 83KB]