含权债的Z-spread主要用来补偿credit risk,liquidity risk,tax影响以及option影响。 OAS就是将z-spread剔除Option影响的spread。对于不含权债,OAS=Z-spread,反之,含权债券的OAS和Z-spread不相等。 例如对于callable bond,Z-spread > OAS 因为callable bond相当于投资者承担了发行人可能提前赎回债券的风险,所以需要给投...
OAS衡量的是含权产品的模型价格和实际市场价格的差别 Z-spread衡量的是含权产品的价格本身 举个例子：1年到期，coupon rate为5%的可赎回债券，利用利率二叉树求得的价格为98块，而实际市场价格为97块，同到期日、同coupon rate的普通债券价格为99块，那么OAS是使得利率二叉树求得的价格为97块时的折现率...
Z、spread包含credit spread,liquidity spread以及option spread,与之对应的是OAS,只包含credit spread、liquidity spread。所以,我们二级讲到的结论是:Zspread只能用来比较不含权债的relative value,因为对于不含权债,Zspread反映了credit spread(这里的credit spread可以认为是广义的credit spread,包含liquidity spread),可以...
Z-spread是All-in spread,债券的所有风险都体现在里面。OAS是Option-adjusted spread,是扣除掉权利的影响,反应债券所有其他的风险。 对于不含权债,Z spread包括credit spread,liquidity spread,term spread等,对于可比含权债,Z spread除了上述spread外,还包含对embedded option的spread补偿。 ---就算太阳没有迎着我们而...
DefinitionG-spreadI-spreadZ-spreadOption-Adjusted Spread (OAS)Example Home Finance Bonds Yield Spread Yield SpreadYield spread is the difference between the yield to maturity on different debt instruments. Common examples of yield spreads are g-spread, i-spread, zero-volatility spread and option-...
1.Z-spread 没有考虑期权, OAS考虑了期权对吗? ---对 2.既然OAS考虑了期权,站在投资人的角度,callable bond包含了对投资人有害的期权,所以OAS相对于Z SPREAD 不是应该更大才对嘛?同理,putable bond的OAS相对于Z SPREAD应该更小才是啊. ---所谓考虑权利影响的意思说的是OAS是在Z-spread基础上剔除权利(op...
The zero-volatility spread is the constant spread that will make the price of a security equal to the present value of its cash flows.
(1)以政府债券的收益率作为基准的利差称为G-spread。 (2)以标准互换利率作为基准的利差称为I-spread。 (3)以政府债券的即期利率曲线为基准的利差称为Z-Spread,可以通过以下公式计算得出 除了以上三种利差之外,还有一种特殊的利差称为期权调整利差(Option-Adjusted Spread/OAS), 它是在Z-spread 的基础上剔除期权...
This limitation is due to the rapid degradation of the Point Spread Function (PSF) with increasing off-axis angles and the presence of strong vignetting. On the other hand, XMM-Newton offers a more stable but larger PSF but has an angular resolution typically exceeding 5″ on-axis, limiting...
The product of option-based valuation, option-adjusted spread, is now commonly used to understand the characteristics of one type of fixed-income security with embedded options, collateralized mortgage obligations. The author provides examples of...