Level 2, Fixed Income - relation between OAS and level of volatility price, market, between, relation, interest

charles.f

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. "

charles.f

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？

charles.f

在线等。。。。。。想了1个多小时了

charles.f

顶。。。。。。。。。

dyzhang37

Z-spread = OAS + option cost

volatility up => option cost up => OAS down with Z-spread constant