G Spread

G Spread
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For my personal use For my child For work or my business
Afrikaans azərbaycan bosanski català Čeština Cymraeg Dansk Deutsch eesti English (United Kingdom) English (United States) Español (España) Español (Latinoamérica) euskara Filipino Français (Canada) Français (France) Gaeilge galego Hrvatski Indonesia isiZulu íslenska Italiano Kiswahili latviešu lietuvių magyar Melayu Nederlands norsk o‘zbek polski Português (Brasil) Português (Portugal) română shqip Slovenčina slovenščina srpski (latinica) Suomi Svenska Tiếng Việt Türkçe Ελληνικά беларуская български кыргызча қазақ тілі македонски монгол Русский српски (ћирилица) Українська ქართული հայերեն עברית ‎ اردو ‎ العربية ‎ فارسی ‎ አማርኛ नेपाली मराठी हिन्दी অসমীয়া বাংলা ਪੰਜਾਬੀ ગુજરાતી ଓଡ଼ିଆ தமிழ் తెలుగు ಕನ್ನಡ മലയാളം සිංහල ไทย ລາວ မြန်မာ ខ្មែរ 한국어 中文（香港）日本語简体中文繁體中文

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Two critical assumptions of the valuation model for OAS:
1) interest rate volatility, the higher, the lower OAS;
2) yield curve on which the benchmark is based on.
option cost is the difference between the spread earned in a constant interest rate environment and the spread earned with a volatility assumption on interest rates.

so could we say high option cost means a big "cost" when interest volatility happened according to the valuation model's assumption?
well, may it be saying: Spread IS +xxx bp, not Spread PLUS xxx bp? anyway, not a big deal.
the head line of above table should be read: "spot rate + bp" instead of "spread + bp". and obviously it's semiannual bond.
The line on the table is correct. It is saying that the spread 'is' +143 bps, not spread +143 bps.
For the Phil Deter example, is adding up all the numbers to find the answer the only way? Drives me nuts! :(

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G Spread

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