Recently,OAS, which has caught the effect of term structure and optionality,has been more and more important in the analysis of option-embedded bonds and has influenced the interest rate risk management of some financ...
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Recently,OAS, which has caught the effect of term structure and optionality,has been more and more important in the analysis of option-embedded bonds and has influenced the interest rate risk management of some financial *** the complexity and the non-standard feature of OAS often lead inappropriate understanding and *** article analyses the definition, computation and the main use of OAS and discusses the pros and cons of OAS, which will help the pricing and risk management of option-embedded bonds.
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