Credit Spread Measures
A simple way to calculate a credit spread is to subtract the yield on a security with little or no …
OAS
Module 36.4 LOS 36.g: Calculation and use of OAS
One flaw of using backward induction in the risk-free binomial model is that if we use risk-free rates to model …
Module 36.4 LOS 36.h: Effect of interest rate volatility on OAS
Recall that the OAS is a spread that adjusts for the difference between the modeled value of a bond (binomial …