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Calculate the portfolio's option adjusted spread: Bond Maturity Face Value Price* Accrued interest* Option-Adjusted Spread Bond A 2 years $3 M 955 11.59 125 Bond
Calculate the portfolio's option adjusted spread:
Bond | Maturity | Face Value | Price* | Accrued interest* | Option-Adjusted Spread |
---|---|---|---|---|---|
Bond A | 2 years | $3 M | 955 | 11.59 | 125 |
Bond B | 4 years | $2 M | 975 | 10.75 | 175 |
Bond C | 5 years | $4 M | 985 | 9.55 | 185 |
Bond D | 3 years | $1 M | 960 | 13.50 | 145 |
*Per $1000 par value
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