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
These so-called option-adjusted spread (OAS) models focus on the prepayment risk of pass-throughs as the essential determinant of the required yield spread of pass-through bonds over treasuries.Stripped to its basics, the option model views the fair price on a pass-through such as a GNMA (...
Definition: Option-adjusted spread (OAS) measures the spread between a fixed income security and the risk-free rate of return, which considers how the embedded option in the fixed income security is likely to change the expected future cash flows and the present value of the security.What Does...
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)。 如果...
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®
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
This MATLAB function computes the option adjusted spread (OAS), option adjusted duration (OAD), and option adjusted convexity (OAC) of an OptionEmbeddedFixedBond instrument using a HullWhite, BlackKarasinski, or BlackDermanToy model with an IRTree pricer
2) Analysis of Option-Adjusted Spread 期权调整价差分析 3) Option Adjusted Spread 期权调整利差 例句>> 4) spreads option 差价期权 1. Probability analysis on trading stratege of stockspreads option; 股票差价期权交易策略的概率分析 更多例句>>
3) option-adjusted spread 选择权调整利差 1. In this article we first explain three yield spread measures, among them the most widely one isoption-adjusted spreador OAS. 介绍了企业债券三种利差指标,用其中最常用的选择权调整利差(OAS)对中国企业债券进行了定量分析,并实证考察了这些债券OAS的期限结构、...
The option-adjusted spread (OAS) is the measurement of the spread of a fixed-income security rate and therisk-free rate of return, which is then adjusted to take into account anembedded option. Typically, an analyst uses Treasury yields for the risk-free rate. The spread is added to the...