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- 帖子
- 213
- 主题
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- 注册时间
- 2011-7-11
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- 2014-8-7
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Why Option Adjusted Spread and not Z Spread for MBS and ABS
Hi
I am curious about why OAS is used and not Z spread. Why should prepayment risk (as an option) be taken out and only OAS be used. Even that is a risk that has to be considered for pricing. So why is a security with higher OAS considered a cheaper security rather than a security with higher z spread. Kind of confusing. Can some one help me understand this.
thanks |
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发表于 2011-7-11 19:11
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