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标题: fixed income: OAS [打印本页]

作者: segalm    时间: 2011-7-11 19:21     标题: fixed income: OAS

when use Monte carlo simulation to get OAS, while use treasury rate as benchmark, I don't get it why OAS exclude option price... Thanks.
作者: Otabek    时间: 2011-7-11 19:21

not really sure what your question is, but OAS is an option-ADJUSTED spread, meaning it reflects the cost of the option.




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