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Mortgage Pool A model is presented for the calculation of the fair value and the hedge ratios, Delta, Vega and Gamma, with respect to pools of Canadian commercial and residential mortgages. Commercial mortgages are closed and either insured or not insured, while residential mortgages are separated into • insured open or closed mortgages, and • non-insured open or closed mortgages. The implementation is based on a single factor Hull-White interest rate trinomial tree. Below we give a summary overview the mortgage pool functionalities. Moreover, the cost to Treasury from the homeowner’s refinancing option is given by By the mortgage price, we mean the quantity, (3.1.1), less the quantity, (3.2.1). By the option price, we mean Formula (3.2.1).
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