option-adjusted-spread

  1. Nicole Seaman

    P1.T3.23.4. Mortgage backed securities (MBS) and dollar rolls

    Learning objectives: Explain the mechanics of different types of agency MBS products, including collateralized mortgage obligations (CMOs), interest-only securities (IOs), and principal-only securities (POs). Describe a dollar roll transaction and how to value a dollar roll. Describe the...
    • Nicole Seaman
    • Thread
    • collateralized-mortgage-obligations dollar-roll interest-only-securities monte-carlo-simulation mortgage-backed-securities mortgage-prepayment option-adjusted-spread principal-only-securities
    • Replies: 1
    • Forum: FRM® Practice Questions
  2. David Harper CFA FRM

    P2.T5.23.2. Multi-period interest rate trees

    Learning objectives: Explain how the principles of arbitrage pricing of derivatives on fixed-income securities can be extended over multiple periods. Define option-adjusted spread (OAS) and apply it to security pricing. Describe the rationale behind the use of recombining trees in option...
    • David Harper CFA FRM
    • Thread
    • arbitrage-pricing black-scholes-merton derivatives fixed-income-securities multi-period-interest-rate-tree option-adjusted-spread recombining-trees time-steps treasury-swap
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. P

    OAS spread

    hi, on p.28 of the notes P2.T5. (Bruce Tuckman, Fixed income securities), it says if the market price assumes to be $3,613.25, which is $2.8 less than the calculated model price of $3,616, the OAS turns out to be 10 basis points. May I know how does this "10 basis points" come out? thanks...
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