An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve

This paper presents a model for optimally designing a collateralized mortgage obligation (CMO) with a planned amortization class (PAC)-companion structure using dynamic cash reserve. In this structure, the mortgage pool’s cash flow is allocated by rule to the two bond classes such that PAC bondholders receive substantial prepayment protection, that protection being provided by the companion bondholders. The structure we propose provides greater protection to the PAC bondholders than current structures during periods of rising interest rates when this class of bondholders faces greater extension risk. We do so by allowing a portion of the cash flow from the collateral to be reserved to meet the PAC’s scheduled cash flow in subsequent periods. The greater protection is provided by the companion bondholders exposure to interest loss. To tackle this problem, we transform the problem of designing the optimal PAC-companion structure into a standard stochastic linear programming problem which can be solved efficiently. Moreover, we present an extended model by considering the quality of the companion bond and by relaxing the PAC bondholder shortfall constraint. Based on numerical experiments through Monte Carlo simulation, we show the utility of the proposed model.     

Crossing of shears bands in196Pb

High-spin states in¹⁹⁶Pb have been populated using the reaction¹⁷⁰Er(³⁰Si,4n). The previously observed shears bands in this nucleus have been extended and some of their transitions have been reordered. They now form regular bands with band crossings. One of the bands splits into two pathways at high spin.     

Wrinkle-free solutions in the theory of annular elastic membranes

Rotationally symmetric deformations of a flat annular elastic membrane under a gravitational force are studied, with prescribed radial stresses or horizontal displacements at the edges. The small-finitedeflection theory of Föppl-Hencky as well as a simplified version of Reissner's static first approximation theory of thin shells of revolution are applied which lead to consider a single, second-order, ordinary differential equation for the derivation of the principal stresses in the membrane. Using analytical methods, the range of those boundary data is determined for which the solutions of the differential equation are wrinkle free in the sense that both the radial and the circumferential stress components are nonnegative everywhere.     

The role of the pion cloud in the interpretation of the valence light-cone wavefunction of the nucleon

The pion cloud renormalises the light-cone wavefunction of the nucleon which is measured in hard, exclusive photon-nucleon reactions. We discuss the leading twist contributions to high-energy exclusive reactions taking into account both the pion cloud and perturbative QCD physics. The nucleon’s electromagnetic form-factor at high Q² is proportional to the bare nucleon probability Z and the cross-sections for hard (real at large angle or deeply virtual) Compton scattering are proportional to Z². Our present knowledge of the pion-nucleon system is consistent with Z = 0.7 ± 0.2. If we apply just perturbative QCD to extract a light-cone wavefunction directly from these hard exclusive cross-sections, then the light-cone wavefunction that we extract measures the three valence quarks partially screened by the pion cloud of the nucleon. We discuss how this pion cloud renormalisation effect might be understood at the quark level in terms of the (in-)stability of the perturbative Dirac vacuum in low energy QCD.     

μSR in oxygen deficient YBa2Cu3O x (6.5⩽x⩽7.0)

A systematic μSR study of the local magnetic field distribution in a series of oxygen deficient YBa₂Cu₃O _x samples with 6.5⩽x⩽7.0 is reported. Special attention was given to perform the experiments under the same conditions, so that the oxygen content of the measured samples was the only parameter varied. The behavior of the depolarization rate σ as a function of the oxygen contentx was found to have strong similarities with the behavior of the critical temperatureT _c as a function ofx. In particular, two step-like increases of σ were observed abovex=6.7 and 6.9. The temperature dependence of the normalized depolarization rate σ(T)/σ(0) is well described by the two-fluid model forx⩾6.781(1) and clearly deviates from this behavior forx⩽6.704(1). Our results are compared to those obtained by other groups.