Question
If the OAS for a 6-year 6% coupon callable bond is 1.6473%, and the Z-spread for the same callable bond assume there's no option embedded
If the OAS for a 6-year 6% coupon callable bond is 1.6473%, and the Z-spread for the same callable bond assume there's no option embedded is 1.7567%, the value of the option is 1.7567%-1.6473 = 10.94bps. How should I calculate the dollar value of the embedded option?
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Finance for Non Financial Managers
Authors: Pierre Bergeron
7th edition
176530835, 978-0176530839
