Introduction to Option-Adjusted Spread Analysis : Revised and Expanded Third Edition of the OAS Classic by Tom Windas
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.
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May 01, 2007
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