Question about Spreads

about, account, only

Just to confirm the only spread that ignores embedded options is the nominal spread??? Z-spread and OAS take embedded options into account??

trogulj

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发表于 2011-7-11 19:47 | 只看该作者

Only OAS takes embedded options into account.

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smartpants

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发表于 2011-7-11 19:47 | 只看该作者

Need to clarify Ali's statement:

OAS adjusts for option RISK. It only reflects liquidity and credit risk.

The other two account for all three types of risk and therefore cannot be used to value bonds with embedded options.

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sgupta0827

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发表于 2011-7-11 19:47 | 只看该作者

Ok got it. Thanks again

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