Introduction to Option-Adjusted Spread Analysis

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.<br /> <br /> This book explains OAS analysis in plain English, presenting each step in the method clearly and concisely. Topics covered include: <ul> <li>Why yield-based analysis breaks down for nonbullet bonds</li> <li>How to model put and call provisions as embedded options</li> <li>How to distinguish the intrinsic and time components of option value</li> <li>How to model interest-rate volatility, future interest rates, and future bond prices</li> <li>How to calculate option-free price and yield</li> <li>How to estimate the "fair value" of a bond</li> <li>How to calculate implied spot and forward rates</li> </ul> <p><br /> Salespeople, traders, and investors will want to read this book and keep it on their desks.</p>