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Introduction to Option-Adjusted Spread Analysis
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Product Details
Author:
Tom Miller
Series:
Bloomberg Financial
Format:
Hardcover
Pages:
176
Publisher:
Wiley (May 1, 2007)
Language:
English
Audience:
General/trade
ISBN-13:
9781576602416
Weight:
12.8oz
Case Pack:
44
File:
Wiley-wileyUS_2_1_20260415-20260415.xml
Folder:
Wiley
List Price:
$39.95
As low as:
$37.95
Publisher Identifier:
P-WIL
Discount Code:
D
Dimensions:
5.8" x 8.6" x 0.68"
Country of Origin:
United States
Pub Discount:
50
Imprint:
Bloomberg Press
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:
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.
