Introduction to option-adjusted spread analysis /

"Explains option-adjusted spread analysis, a method for valuing bonds with options. This book takes readers through each step of the calculation"--Provided by publisher.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Windas, Tom
Otros Autores: Miller, Tom, 1964-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York : Bloomberg Press, ©2007.
Edición:Rev. and expanded 3rd ed. of the OAS classic /
Temas:
Fixed-income securities.
Option-adjusted spread analysis.
Écart corrigé en fonction des clauses optionnelles.
Fixed-income securities
Option-adjusted spread analysis
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Introduction: Why OAS Analysis?
  • Yield Analysis Versus OAS Analysis. Fatal Flaws in Traditional Yield Calculations
  • The Bond as a Portfolio
  • Valuing Options. Intrinsic Value
  • Time Value
  • Modeling Interest Rates. Implied Spot and Forward Rates
  • Beyond the Lognormal Model
  • Volatility and the Binomial Tree
  • Matching the Model to the Market
  • Measuring the Spread. Bullet Bonds
  • Nonbullet Bonds
  • Applications of OAS Analysis. Evaluating Performance
  • Estimating Fair Value
  • Conclusion: Building a Better OAS
  • About Bloomberg
  • About the Reviser
  • References & Additional Reading.

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