medium · Debt Capital Markets pricing-yields-curve
What does an Option-Adjusted Spread (OAS) provide that a Z-spread does not?
- The exact yield an investor will receive if they hold the bond to maturity
- A measure of the credit spread after stripping out the cost of the option
- A calculation that accounts for the clean price jump at coupon dates
- A spread that assumes the bond will be called at the first opportunity
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