| Description |
1 online resource (1 volume) : illustrations |
| Bibliography |
Includes bibliographical references and index. |
| Contents |
Introduction: Why OAS Analysis? -- Yield Analysis Versus OAS Analysis. Fatal Flaws in Traditional Yield Calculations -- The Bond as a Portfolio -- Valuing Options. Intrinsic Value -- Time Value -- Modeling Interest Rates. Implied Spot and Forward Rates -- Beyond the Lognormal Model -- Volatility and the Binomial Tree -- Matching the Model to the Market -- Measuring the Spread. Bullet Bonds -- Nonbullet Bonds -- Applications of OAS Analysis. Evaluating Performance -- Estimating Fair Value -- Conclusion: Building a Better OAS -- About Bloomberg -- About the Reviser -- References & Additional Reading. |
| Summary |
"Explains option-adjusted spread analysis, a method for valuing bonds with options. This book takes readers through each step of the calculation"--Provided by publisher. |
| Subject |
Fixed-income securities.
|
|
Option-adjusted spread analysis.
|
|
Écart corrigé en fonction des clauses optionnelles. |
|
Fixed-income securities |
|
Option-adjusted spread analysis |
| Added Author |
Miller, Tom, 1964-
|
| Added Title |
Option-adjusted spread analysis |
| Other Form: |
Print version: Windas, Tom. Introduction to option-adjusted spread analysis. Rev. and expanded 3rd ed. New York : Bloomberg Press, 2007 9781576602416 (DLC) 2006101298 (OCoLC)77116852 |
| ISBN |
1576602419 |
|
9781576602416 |
|
9781119204787 |
|
111920478X |
|
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