Introduction to Option-Adjusted Spread Analysis, 3rd, Revised and Expanded Edition of the OAS Classic by Tom WindasISBN: 978-1-57660-241-6
Hardcover
160 pages
May 2007
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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:
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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