Option-adjusted spread (oas) - total return, Financial Management

The horizon price can be determined by incorporating Option-Adjusted Spread (OAS) into a total return analysis. But this requires a valuation model. How the OAS is expected to change has to be specified at the end of investment horizon. The expectations of the portfolio manager are reflected through the assumptions made about the OAS value at the investment horizon. Usually OAS value assumed at the time of purchase and OAS at the horizon date will be the same. Total return determined using this assumption is referred to as constant-OAS total return.

Posted Date: 9/11/2012 1:49:09 AM | Location : United States

Related Discussions:- Option-adjusted spread (oas) - total return, Assignment Help, Ask Question on Option-adjusted spread (oas) - total return, Get Answer, Expert's Help, Option-adjusted spread (oas) - total return Discussions

Write discussion on Option-adjusted spread (oas) - total return
Your posts are moderated
Related Questions
North Star Company, a U.S. based MNC, is considering to establish a subsidiary to capitalize on the removal of Eastern European border restrictions. The subsidiary would manufactur

Question 1 Describe briefly the various terms of payment available to an exporter and importer. Explain any one method in detail Question 2 A documentary letter of credit is

To understand how treasury spot rates are used to calculate the arbitrage-free value of the treasury security, we will take imaginary treasury spot rates (given i

The volatility assumption has a great influence on the arbitrage free value of the bond. The higher the expected volatility, the greater the value of an option. W

In convertible bonds, bondholders get a right to convert their bonds for a specific number of shares of the bond issuer. This privilege allows bondholders to take

Define and discuss indirect world systematic risk. The indirect world systematic risk can be illustrated as the covariance among a nontradable asset and the world market portfo

Explain Hard capital rationing and Soft capital rationing The NPV decision rule to admit all projects with a positive net present value requires the existence of a perfect cap

Reacher Technology has consulted with investment bankers and determined the intere Reacher Technology has consulted with investment bankers and determined the interest rate it woul

What is the relationship between a bond's market price and its promised yield to maturity?  Explain. A bond's market price relies on its yield to maturity abbreviated as YTM.  Wh

Strong form level of Efficiency This level states that price reflects all the available public and private information (past, present and future information). If the hypothesis