- UID
- 222293
- 帖子
- 680
- 主题
- 67
- 注册时间
- 2011-7-2
- 最后登录
- 2016-4-19
|
| Please refer to P313 of V5 and P203 of Book 4(schwesernotes). I understand why we need to add a spread to all the 1 year rates in the binomial interest rate tree. This will give us the market value of $102.18. This seems very similiar to what you on P203 of schwesernotes. But on P203-schwesernotes, the spread that is added is called the Z-spread. Why is the spread on P312-V5 referred to as the OAS and not the Z-spread? |
|
发表于 2011-7-13 13:17
| 