34. In the Monte Carlo method, the option-adjusted spread is the spread that, when added to all...

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34. In the Monte Carlo method, the option-adjusted spread is the spread that, when added to all the spot rates on all interest rate paths, will make the average present value of the paths equal to the observed market price (plus accrued interest).

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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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34. In the Monte Carlo method, the option-adjusted spread is the spread that, when added to all...

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Measuring And Controlling Interest Rate And Credit Risk

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