Introduction to Option-Adjusted Spread Analysis, 3rd, Revised and Expanded Edition of the OAS Classic by Tom Windas

Beschreibung

Top traders, investors, and analysts agree that one method,option-adjusted spread (OAS) analysis, is the most useful way tocompare and value securities with options. Nearly every day thebond market figures out a new way to structure securities, most ofwhich involve options. This book explains OAS analysis in plain English, presenting eachstep 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 optionvalue * 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 andkeep it on their desks.

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Tom Miller

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