| 摘要 |
In at least one aspect, the invention comprises constructing one or more hybrid adjustable rate mortgage aggregates based on one or more of: agency, program, coupon, and origination year; for each of one or more of the aggregates, constructing one or more sub-aggregates based on one or more of: rate-index, capitalization structure, and existence of interest-only feature; mapping pools of adjustable rate mortgages to the aggregates and sub-aggregates; constructing an index based on the mapping; and pricing the index.
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