Option-Adjusted Spread (OAS)

Mar 1, 2016

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in Level II Fixed Income, Level III Fixed Income

Option-adjusted spread (OAS) is a yield spread (i.e., an interest rate) that is added to the (1-period forward) interest rate at each node in a binomial tree; specifically, it is the spread that when added to the discount rates results in the tree giving the current market price for a particular bond, after accounting for […]

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