| @janakisri: That's precisely what I'm saying. The OAS is the spread at which a credit would be trading over a benchmark if it had no imbedded optionality. In other words, its the credit's spread over the benchmark, minus the component that is attributable to the value of the embedded option. Lastly, I'm well aware OAS was covered in L1 and 2. |
发表于 2011-7-13 15:28
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