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" Introduction to option-adjusted spread analysis / "
Tom Windas ; revised by Tom Miller ; foreword by Peter Wilson
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BL
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| Record Number
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668737
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| Doc. No
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dltt
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| Main Entry
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Windas, Tom
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| Title & Author
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Introduction to option-adjusted spread analysis /\ Tom Windas ; revised by Tom Miller ; foreword by Peter Wilson
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| Edition Statement
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Rev. and expanded 3rd ed
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| Publication Statement
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New York :: Bloomberg Press,, 2007
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| Page. NO
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xi, 159 p. ;: ill. ;; 22 cm
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| ISBN
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9781576602416 (alk. paper)
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: 1576602419
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| Bibliographies/Indexes
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Includes bibliographical references (p. 153-154) and index
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| Contents
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Introduction : why OAS analysis? -- Fatal flaws in traditional yield calculations -- -- The bond as a portfolio -- Intrinsic value -- Time value -- Implied spot and forward rates -- Beyond the lognormal model -- Volatility and the binomial tree -- Matching the model to the market -- Bullet bonds -- Nonbullet bonds -- Evaluating performance -- Estimating fair value -- Conclusion : building a better OAS
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| Abstract
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"Explains option-adjusted spread analysis, a method for valuing bonds with options. This book takes readers through each step of the calculation"--Provided by publisher
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| Subject
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Fixed-income securities
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| Subject
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Option-adjusted spread analysis
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| Dewey Classification
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332.63/2283
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| LC Classification
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HG4650.M56 2007
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| Added Entry
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Windas, Tom.
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Miller, Tom,1964-
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