An option-adjusted spread (OAS) on a callable bond is the Z-spread: A . over the benchmark spot

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An option-adjusted spread (OAS) on a callable bond is the Z-spread:

A . over the benchmark spot curve.

B . minus the standard swap rate in that currency of the same tenor.

C . minus the value of the embedded call option expressed in basis points per year

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Fixed Income Analysis

ISBN: 9788126563128

3rd Edition

Authors: Barbara S. Petitt, Jerald E. Pinto, Wendy L. Pirie, Bob Kopprasch

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Question Posted: Oct 23, 2024 08:06 AM

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An option-adjusted spread (OAS) on a callable bond is the Z-spread: A . over the benchmark spot

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Fixed Income Analysis

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