Questions tagged [oas]
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3 questions
0 votes
1 answer
111 views
Single Callable Bond - from Option Price to Z-Spread
The pricing software I use requires the specification of a z-spread for the valuation of a single callable bond. According to many sources, however, the Z-spread is determined based on the bond price, ...
2 votes
0 answers
138 views
OAS adjustment for bond specific call structures
I’m trying to perform a relative valuation for a bond by comparing it to other bonds from the same issuer. bonds are callable, but they have different call structures As I understand that the Option-...
- 105
0 votes
0 answers
158 views
Can I use the Gsr short-rate model in quantlib to find the OAS of callable bonds
I am trying to find the OAS of callable/puttable bonds using TreeCallableFixedRateBondEngine. This works when I use the HullWhite or BlackKarasinski short-rate models, but they do not allow for time-...
