Imagine this: you're offered two corporate bonds from similar issuers with identical credit ratings. Both bonds have 6 percent coupons and ten-year final maturities. The first is noncallable and priced at $98.00. The second is callable at par in seven years and priced at $97.50. Which bond is the better deal? Not the one most people would think... Top traders, investors, and analysts agree that one method, option-adjusted spread (OAS) analysis, is the most useful way to compare and value securities with options. Nearly every day the bond market figures out a new way to structure securities,…mehr
Imagine this: you're offered two corporate bonds from similar issuers with identical credit ratings. Both bonds have 6 percent coupons and ten-year final maturities. The first is noncallable and priced at $98.00. The second is callable at par in seven years and priced at $97.50. Which bond is the better deal? Not the one most people would think... Top traders, investors, and analysts agree that one method, option-adjusted spread (OAS) analysis, is the most useful way to compare and value securities with options. Nearly every day the bond market figures out a new way to structure securities, most of which involve options. This book explains OAS analysis in plain English, presenting each step in the method clearly and concisely. Topics covered include: * Why yield-based analysis breaks down for nonbullet bonds * How to model put and call provisions as embedded options * How to distinguish the intrinsic and time components of option value * How to model interest-rate volatility, future interest rates, and future bond prices * How to calculate option-free price and yield * How to estimate the "fair value" of a bond * How to calculate implied spot and forward rates Salespeople, traders, and investors will want to read this book and keep it on their desks.
A modern Renaissance man, Tom Miller's media career has spanned six decades as a producer, director, art director, and philosopher bringing energy, originality and creativity to all he touches. After graduating from Carleton College with a B.A. in art with distinction in 1957, he attended the Cinema School at USC in Los Angeles, where he wrote, produced and directed one of the first student theatrical films ever made at the school. That set the tone for his subsequent work with the famous designer, Saul Bass, as a cameraman experimenting with innovative creative mixes for live action sequences for major film titles. His love of metaphysics, mystical Christianity and his search for self-realization next led him to join the staff of the Summit Lighthouse in 1964 as an art director working with his gurus, Mark and Elizabeth Prophet. In those years he attempted to thin the veil between heaven and earth with graphic arts, videos and musical compositions. David Tame in his book, The Secret Power of Music, hailed Tom as a "unique composer [who] has brought forth several tone poems which truly deserve to be called New Age music." Following those 18 years, he partnered with Douglas Kenyon, publisher of Atlantis Rising magazine, where Tom created numerous artistic covers on many unique and dynamic topics. And together they created three major documentaries dealing with such special subjects as Atlantis and clean energy. Also, early in the revolution from film to digital video, Tom pioneered the use of personal computers to develop broadcast quality animation and won some awards in the process. International travel to sacred sites has taken him to every continent where he chronicled his journey through the eye of his camera. In 2010 he lived in Taiwan with his wife for a year creating mini travel documentaries and absorbing the essential elements of traditional and modern Chinese culture. To this day, Tom continues to work long hours creating art, music, and video in his home studio in addition to writing his memoirs chronicling his years with the spiritual leaders, Mark and Elizabeth Prophet.
Inhaltsangabe
Foreword (Peter Wilson).
Introduction: Why OAS Analysis?
PART ONE. Yield Analysis versus OAS Analysis.
CHAPTER 1. Fatal Flaws in Traditional Yield Calculations
