Overview
Top traders, investors, and analysts agree that one method,option-adjusted spread (OAS) analysis, is the most useful way tocompare and value securities with options. Nearly every day thebond market figures out a new way to structure securities, most ofwhich involve options.
This book explains OAS analysis in plain English, presenting eachstep in the method clearly and concisely. Topics covered include:
This book explains OAS analysis in plain English, presenting eachstep 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 optionvalue
- 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 andkeep it on their desks.
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