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.
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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.
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