Introduction to Option-Adjusted Spread Analysis


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Option-adjusted spread (OAS) analysis is recognized as an invaluable tool for analyzing and comparing bonds with different structures. Starting with the fundamentals and progressing by easy steps, this compact guide--now updated and expanded with a section on estimating theoretical "fair value"--helps readers build a working knowledge of the limitations of tradition yield-based risk and return analysis, determining "option-free" price and yield, measuring a bond's price sensitivity to changes in interest rates, and more.

Introduction to Option-Adjusted Spread Analysis 2006, Bloomberg Press, Princeton, NJ

ISBN-13: 9781576600023

Revised edition