Cryptocurrency Q&A How to calculate OAS?

How to calculate OAS?

Maria Maria Wed Jul 24 2024 | 0 answers 0
Could you please elaborate on the process of calculating the Option-Adjusted Spread (OAS)? I'm particularly interested in understanding the key steps involved, such as identifying the appropriate benchmark yield curve, determining the fair value of the option-embedded security, and then adjusting for the embedded options to arrive at the OAS. Could you also highlight any potential challenges or complexities that one might encounter during this process? How to calculate OAS?

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