OAS for Bonds with Embedded Options
Bond Data
Today Date Fixed Coupon (% pa)
Recent Pay Date # Coupons per annum
Maturity Date Yield Curve Vol (% pa)
We compute the OAS (Option-Adjusted Spread) for a fixed coupon, bullet amortization bond given the bond price (and also give the option to compute price from OAS). The OAS is the yield spread to the underlying U.S. Treasury benchmark yield curve. The bond may have embedded (Issuer) call options and (Investor) put options. The User marks the presence of these options on the table to the right. See the article "Model for Valuing Bonds and Embedded Options" for an explanation of the Binomial Tree calculation method we employ.
Bond Price (% Par) Bond OAS (% pa)