This kind of model uses option pricing theory to figure the fair yield on pass-throughs and, in particular, the fair yield spread of pass-throughs over treasuries. These so-called option-adjusted spread (OAS) models focus on the prepayment risk of pass-throughs as the essential determinant ...
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…
OAS (redirected fromOption adjusted spread) Thesaurus Financial Acronyms Wikipedia Related to Option adjusted spread:Effective duration OAS abbr. Organization of American States American Heritage® Dictionary of the English Language, Fifth Edition. Copyright © 2016 by Houghton Mifflin Harcourt Publishing...
1) option-adjusted spread(OAS) 期权调整价差 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; ...
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、...
2) option-adjusted spread(OAS) 期权调整价差3) Option Adjusted Spread 期权调整利差 例句>> 4) error ana 误差分析与调整5) Analysis of the Price of the Option s Value 期权定价分析 例句>> 6) spreads option 差价期权 1. Probability analysis on trading stratege of stock spreads option; ...
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 ...
The zero-volatility spread (Z-spread) provides the difference in basis points along the entire Treasury yield curve. The analyst will use OAS and Z-spread to compare debt securities for value. Option-Adjusted Spread Unlike the Z-spread calculation, theoption-ad...
Generally speaking, an analyst would like the option adjusted spread (OAS) to be big controlling for: A. Credit and liquidity risk. B. Credit, liquidity and option risk. C. Option risk.相关知识点: 试题来源: 解析 A 略 反馈 收藏