Introduction to Option-Adjusted Spread Analysis

Introduction to Option-Adjusted Spread Analysis

by Tom Miller

Epub (Kobo), Epub (Adobe) Publication Date: 16/05/2016


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.

Investment & securities
Epub (Kobo), Epub (Adobe)
Publication Date:
Tom Miller

Tom Miller grew up in Wauwatosa, Wisconsin. He graduated from Harvard University and went on to earn an MFA in creative writing from the University of Notre Dame and an MD from the University of Pittsburgh.

While writing The Philosopher’s Flight, he worked as a travel guidebook writer, EMT, and college English instructor. He's now an emergency room doctor in Madison, Wisconsin.

This item is delivered digitally

Customer Reviews

Be the first to review Introduction to Option-Adjusted Spread Analysis.