An Introduction to Option Adjusted Spread Analysis, Revised and Expanded Third Edition

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

Salespeople, traders, and investors will want to read this book and keep it on their desks.

Binding Type: Hardcover
Publisher: Bloomberg Press
Published: 05/01/2007
ISBN: 9781576602416
Pages: 176
Weight: 0.80lbs
Size: 8.46h x 5.82w x 0.80d