Introduction to option-adjusted spread analysis / Tom Windas ; revised by Tom Miller ; foreword by Peter Wilson

Author : Windas, Tom
Rating :
Introduction to option-adjusted spread analysis / ...

Top traders, investors, and analysts agree that one method, option-adjusted spread (OAS) analysis, is the most useful way to compare and value securities with options. Nearly every day the bond market figures out a new way to structure securities, most of which involve options. This book explains OAS analysis in plain English, presenting each step in the method clearly and concisely. Topics covered include: Why yield-based analysis breaks down for nonbullet bonds How to model put and call provisions as embedded options How to distinguish the intrinsic and time components of option value How to model interest-rate volatility, future interest rates, and future bond prices How to calculate option-free price and yield How to estimate the "fair value" of a bond How to calculate implied spot and forward rates

Publisher : New York : Bloomberg Press
Publish Year : 2007
Page : xi, 159 p
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