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回复 3# Houjichasan

Found from other websites:

The original source is on Page 12 of Unit 19, BPP (BPP professional education).

The OAS will depend on the volatility parameter- sigma. For a given bond price, high interest-rate volatility makes the OAS:
* lower for a callable bond
* higher for a putable bond


Think it this way: OAS = Market Yield - Theoretical Yield

If you increase the volatility assumption in your model, the theoretical yield on the callable bond will increase. However, the actual market yield doesn't change by you playing with your Excel. This, the OAS goes down just as the good folks at BPP said.