Introduction to Option-Adjusted Spread Analysis: Revised and Expanded Third Edition of the OAS Classic by Tom Windas - Couverture rigide

Couverture rigide

ISBN 10 : 1576602419 ISBN 13 : 9781576602416

Editeur : Bloomberg Press, 2007

Synopsis

Top traders, investors, and analysts agree that one method, option-adjusted spread (OAS) analysis, is the most useful way to compare and value securities with options. Nearly every day the bond market figures out a new way to structure securities, most of which involve options.

This book explains OAS analysis in plain English, presenting each step in the method clearly and concisely. Topics covered include:

• Why yield-based analysis breaks down for nonbullet bonds
• How to model put and call provisions as embedded options
• How to distinguish the intrinsic and time components of option value
• How to model interest-rate volatility, future interest rates, and future bond prices
• How to calculate option-free price and yield
• How to estimate the "fair value" of a bond
• How to calculate implied spot and forward rates

Salespeople, traders, and investors will want to read this book and keep it on their desks.

A propos du livre

À propos de l?auteur

Tom Miller, who revised and expanded this edition, was head of the fixed income and derivatives sales team at Bloomberg L.P. in New York. He teaches at the New York University School of Continuing and Professional Studies. Prior to joining Bloomberg, he traded in the money markets for eleven years.

Détails de l'édition

• Éditeur: Bloomberg Press
• Date d'édition: 2007
• Langue: anglais
• ISBN 10: 1576602419
• ISBN 13: 9781576602416
• Reliure: Relié
• Numéro d'édition: 3
• Nombre de pages: 176
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible