When they determine the price on a bond with optionality, aka the spread, this price is reflected in the Z Spread. The Z Spread is the complete spread required by investors to compensate for all of the risk, including the embedded optionality, of the bond. OAS simply implies...
介绍CFA二级考试Reading 34中,Option Adjusted Spread的含义、计算、和利率波动率之间的关联
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Define Option adjusted spread. Option adjusted spread synonyms, Option adjusted spread pronunciation, Option adjusted spread translation, English dictionary definition of Option adjusted spread. abbr. Organization of American States American Heritage®
The Z-spread is the constant yield spread over the benchmark spot curve. The I-spread is the yield spread of a specific bond over the standard swap rate in that currency of the same tenor.【释义】从z价差中减去以每年基点计算的期权价值,以计算期权调整价差(OAS)。z价差是基准现货曲线上的固定...
网络期权调整利差 网络释义 1. 期权调整利差 新兴市场主权及企业债券的期权调整利差(Option-Adjusted-Spread),仍较其历史平均值为高,反映价格被低估。同时,区内 … orientaldaily.on.cc|基于 1 个网页
百度试题 题目7-4 option-adjusted spread A.期权调整利差 B.票面价格曲线 C.票面价值相关知识点: 试题来源: 解析 A option-adjusted spread:“期权调整利差”。Z-spread减去期权价值 反馈 收藏
在学习CFA 二级时遇到一个有些难懂的概念 OAS, 不过结合教材中的二叉树模型有助于理解为OAS 是有违约风险的含权债券(risky option embedded bond)相对于无风险含权债券(default-free option embedded bond) 在相同利率波动率下的额外风险补偿(risk premium)。它在各个期限假定是一个常数(constant spread)。
Both the option-adjusted (OAS) and the zero-volatility spread (Z-spread) are useful to calculate the value of a security. In general, a spread represents the difference between the two measurements. The OAS and Z-spread help investors compare the yield of ...
OAS vs. Z-Spread The OAS should not be confused with aZ-spread. The Z-spread is the constant spread that makes the bond's price equal to the present value of its cash flow along each point along the Treasury curve. However, it does not include the value of the embedded options, which...