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Introduction to Option-Adjusted Spread Analysis: Revised and Expanded Third Edition of the OAS Classic by Tom Windas
Introduction to Option-Adjusted Spread Analysis Revised and Expanded Third Edition of the OAS Classic by Tom Windas Author:Tom Miller 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, now in a revised and expanded third edition, intr... more »oduces the fundamentals of OAS analysis in a straightforward, comprehensible fashion to anyone who wants to make better decisions in the fixed-income markets. OAS analysis takes fixed-income decision making to the next level. Using full-curve pricing, volatility, and options models, OAS analysis provides a more complex valuation of bonds with call and put features. Professional traders use OAS analysis every day in the pricing of bonds from the corporate, agency, municipal, and structured finance sectors. This book qualifies for 5 PD credits under the guidelines of the CFA Institute Professional Development Program. 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