27. The option-adjusted spread is the constant spread that when added to the short rates in the...

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27. The option-adjusted spread is the constant spread that when added to the short rates in the binomial interest rate tree will produce a valuation for the bond equal to the market price of the bond.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:00 AM

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27. The option-adjusted spread is the constant spread that when added to the short rates in the binomial interest rate tree will produce a valuation for the bond equal to the market price of the bond.
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27. The option-adjusted spread is the constant spread that when added to the short rates in the...

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Measuring And Controlling Interest Rate And Credit Risk

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