Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security's payments to match its market price, using a dynamic pricing model that accounts for embedded options. OAS is hence model-dependent. This concept can be applied to a mortgage-backed security (MBS), or another bond with embedded options, or any other interest rate derivative or option. More loosely, the OAS of a security can be interpreted as its "expected outperformance" versus the benchmarks, if the cash flows and the yield curve behave consistently with the valuation model.
| Attributes | Values |
|---|
| rdf:type
| |
| rdfs:label
| - Option-adjusted spread (es)
- Option-adjusted spread (en)
|
| rdfs:comment
| - El Option-adjusted spread (traducción literal del inglés, spread ajustado a opciones), conocido también simplemente como OAS, es la diferencia de tasas de interés que debe ser agregada a la curva soberana en los modelos de determinación de precios para descontar un instrumento financiero de tal forma que se obtenga su precio de mercado. En otras palabras, el OAS es el impacto que una opción tiene en la valuación y determinación del precio de un instrumento financiero. Este concepto puede ser aplicado a cualquier instrumento que posea opciones en su estructura intrínseca, tales como opciones, bonos o derivados de tasas de interés. (es)
- Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security's payments to match its market price, using a dynamic pricing model that accounts for embedded options. OAS is hence model-dependent. This concept can be applied to a mortgage-backed security (MBS), or another bond with embedded options, or any other interest rate derivative or option. More loosely, the OAS of a security can be interpreted as its "expected outperformance" versus the benchmarks, if the cash flows and the yield curve behave consistently with the valuation model. (en)
|
| dcterms:subject
| |
| Wikipage page ID
| |
| Wikipage revision ID
| |
| Link from a Wikipage to another Wikipage
| |
| Link from a Wikipage to an external page
| |
| sameAs
| |
| dbp:wikiPageUsesTemplate
| |
| has abstract
| - El Option-adjusted spread (traducción literal del inglés, spread ajustado a opciones), conocido también simplemente como OAS, es la diferencia de tasas de interés que debe ser agregada a la curva soberana en los modelos de determinación de precios para descontar un instrumento financiero de tal forma que se obtenga su precio de mercado. En otras palabras, el OAS es el impacto que una opción tiene en la valuación y determinación del precio de un instrumento financiero. Este concepto puede ser aplicado a cualquier instrumento que posea opciones en su estructura intrínseca, tales como opciones, bonos o derivados de tasas de interés. (es)
- Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security's payments to match its market price, using a dynamic pricing model that accounts for embedded options. OAS is hence model-dependent. This concept can be applied to a mortgage-backed security (MBS), or another bond with embedded options, or any other interest rate derivative or option. More loosely, the OAS of a security can be interpreted as its "expected outperformance" versus the benchmarks, if the cash flows and the yield curve behave consistently with the valuation model. In the context of an MBS or callable bond, the embedded option relates primarily to the borrower's right to early repayment, a right commonly exercised via the borrower refinancing the debt. These securities must therefore pay higher yields than noncallable debt, and their values are more fairly compared by OAS than by yield. OAS is usually measured in basis points (bp, or 0.01%). For a security whose cash flows are independent of future interest rates, OAS is essentially the same as Z-spread. (en)
|
| gold:hypernym
| |
| prov:wasDerivedFrom
| |
| page length (characters) of wiki page
| |
| foaf:isPrimaryTopicOf
| |
| is Link from a Wikipage to another Wikipage
of | |
| is Wikipage redirect
of | |
| is Wikipage disambiguates
of | |
| is foaf:primaryTopic
of | |
![[RDF Data]](/fct/images/sw-rdf-blue.png)
![[cxml]](/fct/images/cxml_doc.png)
![[csv]](/fct/images/csv_doc.png)
![[text]](/fct/images/ntriples_doc.png)
![[turtle]](/fct/images/n3turtle_doc.png)
![[ld+json]](/fct/images/jsonld_doc.png)
![[rdf+json]](/fct/images/json_doc.png)
![[rdf+xml]](/fct/images/xml_doc.png)
![[atom+xml]](/fct/images/atom_doc.png)
![[html]](/fct/images/html_doc.png)