Overview
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.
The book, Introduction to Option-Adjusted Spread Analysis (Bloomberg Financial) [Bulk, Wholesale, Quantity] ISBN#9781576602416 in Hardcover by may be ordered in bulk quantities. Minimum starts at 25 copies. Availability based on publisher status and quantity being ordered.
Details
Format:
Hardcover
Publication Date:
05/01/2007
ISBN-13:
9781576602416
Pages:
176
Publisher:
Wiley
