Tuckman Ch 7 - Term Structure models - OAS Security Pricing AIM

[Delo]

Hi
Tuckman Ch 7 - Term Structure models has a AIM "Define option-adjusted spread (OAS) and apply it to security pricing.".

I cannot find material to read on this in BT notes / videos nor in the Tuckman book (maybe i have old version).

Can anyone please help?

 

[brian.field]

It is definitely in the assigned reading. You can always look up the definition in Google. I forget the actual definition but it is something f like "the spread between a model's predicted yield versus the realized yield on a position with optionality" but this could be off. You wouldn't use OAS on a security without any optionality if I remember correctly.

 

[ShaktiRathore]

Hi,
I think the OAS is mentioned in credit risk section of the notes.
Please also see the following for OAS:
https://forum.bionicturtle.com/threads/option-adjusted-spread-oas.8695/#post-36351
https://forum.bionicturtle.com/threads/z-spread-vs-zero-vol-oas.5419/#post-15099
thanks

 

[Kavita.bhangdia]

Yes a lot of topics still need to be loaded by David, like Chaudhary, Crouchy, current issues etc.. So lets wait for it ..

Thanks
Kavita