Monte carlo assumptions

for OAS? Prepayment rate,volatilty,refinancing spread…+ smthg else?. for duration?

interest rate path dependant valuation measure

dealers/vendors report diff effective duration estimates for the same scurity because of different assumptions about: incremental changes in interest rates prepayment model OAS derived from MC simulation refinancing spread ---------------------------------------------------- MC Simulation for agency MBS: assumptions regarding benchmark rates volatility prepayment refinancing spreads for Non agency MBS additonal assumptions for default and recovery rates