Introduction to Option-Adjusted Spread Analysis

Introduction to Option-Adjusted Spread Analysis

by Tom Miller
     
 

View All Available Formats & Editions

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

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.

Product Details

ISBN-13:
9781576602416
Publisher:
Wiley
Publication date:
05/01/2007
Series:
Bloomberg Financial Series, #46
Edition description:
3rd, Revised and Expanded Edition of the OAS Classic by Tom Windas
Pages:
159
Product dimensions:
5.82(w) x 8.46(h) x 0.80(d)

Meet the Author

Tom Miller, who revised and expanded this edition, was head of the fixed income and derivatives sales team at Bloomberg L.P. in New York. He teaches at the New York University School of Continuing and Professional Studies. Prior to joining Bloomberg, he traded in the money markets for eleven years.

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >