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

Tom Windas

ISBN 10: 1576600025 / ISBN 13: 9781576600023

Published by Bloomberg Press (edition Revised), 1996

It's a preowned item in good condition and includes all the pages. It may have some general signs of wear and tear, such as markings, highlighting, slight damage to the cover, minimal wear to the binding, etc., but they will not affect the overall reading experience. Seller Inventory # 1576600025-11-1

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.

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.

Bibliographic Details

Title: An Introduction to Option-Adjusted Spread ...
Publisher: Bloomberg Press (edition Revised)
Publication Date: 1996
Binding: Hardcover
Condition: Good
Edition: Revised.