标题: Question about Spreads [打印本页] 作者: towardsutopia21 时间: 2011-7-11 19:47 标题: Question about Spreads
Just to confirm the only spread that ignores embedded options is the nominal spread??? Z-spread and OAS take embedded options into account??作者: trogulj 时间: 2011-7-11 19:47
Only OAS takes embedded options into account.作者: smartpants 时间: 2011-7-11 19:47
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.作者: sgupta0827 时间: 2011-7-11 19:47
