Option-Adjusted Spread
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Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Option adjusted spread (OAS) is the flat spread over the treasury yield curve required to discount a security payment to match its market price. This concept can be applied to mortgage-backed security (MBS), Options, Bonds and any other interest-rate Derivative. The word ''Option'' in Option adjusted spread relates to the right of property owners, whose mortgages back the MBS, to prepay the full mortgage amount. In contrast to the simple "yield curve spread" measureme...
Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Option adjusted spread (OAS) is the flat spread over the treasury yield curve required to discount a security payment to match its market price. This concept can be applied to mortgage-backed security (MBS), Options, Bonds and any other interest-rate Derivative. The word ''Option'' in Option adjusted spread relates to the right of property owners, whose mortgages back the MBS, to prepay the full mortgage amount. In contrast to the simple "yield curve spread" measurement of bond premium over a pre-determined cash-flow model, the OAS describes the market premium over a model including two types of volatility: Variable interest rates, variable prepayment rates.
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