The Duration of an Adjustable‐Rate Mortgage and the Impact of the Index
推导了可调利率抵押贷款的久期公式，发现其性质与固定利率证券不同，且指数选择比调整频率对久期影响更大，有助于评估利率变化对这类贷款价格的影响。
ABSTRACT With the increasing use of adjustable‐rate mortgages for asset/liability management, there exists the need to properly evaluate their price sensitivity to interest rate changes. This paper provides a foundation by deriving the duration of an adjustable‐rate mortgage. The properties of this duration are unique and have some important differences from those of fixed‐rate securities. One important characteristic of an adjustable‐rate mortgage concerns the index used to adjust the mortgage rate. It was found that the index tended to be more important than the adjustment frequency in determining the duration of an adjustable‐rate mortgage.