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
Summary
"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