标题: Level 2, Fixed Income - relation between OAS and level of volatility [打印本页] 作者: charles.f 时间: 2015-5-19 19:38 标题: Level 2, Fixed Income - relation between OAS and level of volatility
大家好，能请教一下 Schweser Book 4 page 199 的最后一段话：
"Level of volatility in an interest rate tree increases, the computed OAS(implied in a given market price)for a callable bond decreases. "作者: charles.f 时间: 2015-5-19 19:40
我的思路是，当Level of volatility in an interest rate tree 上升时，既然future cash flow 没变， present value 相对option free bond 下降，那不是应该加到benchmark rate 的OAS 上升才能得到变低的present value吗？作者: charles.f 时间: 2015-5-19 19:40
