×

Uh-oh, it looks like your Internet Explorer is out of date.

For a better shopping experience, please upgrade now.

An Introduction to Option-Adjusted Spread Analysis
     

An Introduction to Option-Adjusted Spread Analysis

by Tom Windas, Michael R. Bloomberg (Introduction), Michael R Bloomberg (Introduction)
 

Option-Adjusted Spread (OAS) analysis is recognized by market professionals as an invaluable tool for analyzing and comparing bonds with embedded options. As with any tool, the utility of OAS analysis depends on the knowledge of the user. Starting with basic concepts and proceeding by simple steps, this book will provide you with a working knowledge of why

Overview

Option-Adjusted Spread (OAS) analysis is recognized by market professionals as an invaluable tool for analyzing and comparing bonds with embedded options. As with any tool, the utility of OAS analysis depends on the knowledge of the user. Starting with basic concepts and proceeding by simple steps, this book will provide you with a working knowledge of why yield-based analysis breaks down for nonbullet bonds, modeling put and call provisions as embedded options, intrinsic and time components of option value, implied spot- and forward-rate calculations, interest-rate volatility, modeling future interest rates, modeling future bond prices, determining option-free price and yield, option-adjusted duration and convexity, and estimating the "fair value" of a bond. With its detailed examples and innovative graphics, this carefully crafted book demonstrates all calculations through every step of the analysis and communicates the logic behind each of them - all with the economy and clarity that have established it as a top reference for the busy and exacting practitioner.

Editorial Reviews

Booknews
Explains a tool used by market professionals to analyze and compare bonds with embedded options. Provides a working knowledge of why yield-based analysis breaks down for nonbullet bonds, modeling put and call provisions as embedded options, intrinsic and time components of option values, and other aspects of bond trading. A pocket-sized volume. First published in 1993. Distributed in the US by IRWIN. Annotation c. Book News, Inc., Portland, OR (booknews.com)

Product Details

ISBN-13:
9781576600023
Publisher:
Wiley, John & Sons, Incorporated
Publication date:
01/28/1996
Series:
Bloomberg Professional Library Series
Edition description:
REVISED
Pages:
192
Product dimensions:
5.84(w) x 8.82(h) x 0.69(d)

Customer Reviews

Average Review:

Post to your social network

     

Most Helpful Customer Reviews

See all customer reviews