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An Introduction to Option-Adjusted Spread Analysis (Bloomberg Professional Library) - Hardcover

Tom Windas

  • 3.29 out of 5 stars
    7 ratings by Goodreads
 
9781576600023: An Introduction to Option-Adjusted Spread Analysis (Bloomberg Professional Library)
Hardcover
ISBN 10: 1576600025 ISBN 13: 9781576600023
Publisher: Bloomberg Press, 1996

Synopsis

Option-Adjusted Spread (OAS) analysis is recognized by market professionals as an invaluable tool for analyzing and comparing bonds with embedded options.
As with any tool, the utility of OAS analysis depends on the knowledge of the user. Starting with basic concepts and proceeding by simple steps, this book will provide you with a working knowledge of why yield-based analysis breaks down for nonbullet bonds, modeling put and call provisions as embedded options, intrinsic and time components of option value, implied spot- and forward-rate calculations, interest-rate volatility, modeling future interest rates, modeling future bond prices, determining option-free price and yield, option-adjusted duration and convexity, and estimating the "fair value" of a bond.
With its detailed examples and innovative graphics, this carefully crafted book demonstrates all calculations through every step of the analysis and communicates the logic behind each of them - all with the economy and clarity that have established it as a top reference for the busy and exacting practitioner.

"synopsis" may belong to another edition of this title.

From the Back Cover

Option-Adjusted Spread (OAS) analysis is recognized by market professionals as an invaluable tool for analyzing and comparing bonds with embedded options. As with any tool, the utility of OAS analysis depends on the knowledge of the user. Starting with basic concepts and proceeding by simple steps, this book will provide you with a working knowledge of why yield-based analysis breaks down for nonbullet bonds, modeling put and call provisions as embedded options, intrinsic and time components of option value, implied spot- and forward-rate calculations, interest-rate volatility, modeling future interest rates, modeling future bond prices, determining option-free price and yield, option-adjusted duration and convexity, and estimating the "fair value" of a bond. With its detailed examples and innovative graphics, this carefully crafted book demonstrates all calculations through every step of the analysis and communicates the logic behind each of them - all with the economy and clarity that have established it as a top reference for the busy and exacting practitioner.

"About this title" may belong to another edition of this title.

Publisher
Bloomberg Press
Publication date
1996
Language
English
ISBN 10 
1576600025
ISBN 13 
9781576600023
Binding
Hardcover
Number of pages
168
Rating
  • 3.29 out of 5 stars
    7 ratings by Goodreads