Which of the following statement is correct about
Which of the following statement is correct about the option adjusted spread ( OAS ):
A. OAS is Z-Spread minus the option cost.
B. OAS is the value of the embedded option.
C. OAS is Z-spread plus the option cost.
参考解答
4j8***102
2024-11-17 15:53:06
Ans:A
The option-adjusted spread takes the option yield component out of the Z-spread measure. The option-adjusted spread is the spread to the Treasury spot rate curve that the bond would have if it were option-free.
Therefore Z-spread – AS = option cost in percent. A is the correct answer.
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