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Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security's payments to match its market price, using a dynamic pricing model that accounts for embedded options. OAS is hence model-dependent. This concept can be applied to a mortgage-backed security (MBS), or another bond with embedded options, or any other interest rate derivative or option. In the context of an MBS or callable bond, the option relates primarily to the borrower's right to refinance the debt at a lower interest rate. These securities must therefore pay higher yields than noncallable debt, and their values are more fairly compared by OAS than by yield. OAS is usually measured in basis points (bp). For a security whose cash flows are independent of future interest rates, OAS is the same as Z-spread. ==Definition== In contrast to simpler "yield-curve spread" measurements of bond premium using a fixed cash-flow model (I-spread or Z-spread), the OAS quantifies the yield premium using a probabilistic model that incorporates two types of volatility: *Variable interest rates *Variable prepayment rates. Designing such models in the first place is complicated because prepayment rates are a behavioural function of the stochastic interest rate. (They tend to go up as interest rates come down.) Specially calibrated Monte Carlo techniques are generally used to simulate hundreds of yield-curve scenarios for the calculation. OAS is an emerging term with fluid use across MBS finance. The definition here is based on Lakhbir Hayre's ''Mortgage-Backed Securities'' textbook. Other definitions are rough analogs: :Take the expected value (mean NPV) across the range of all possible rate scenarios when discounting each scenario's ''actual cash flows'' with the Treasury yield curve plus a spread, ''X''. The OAS is defined as the value of ''X'' equating the market price of the MBS to its value in this theoretical framework. Treasury bonds are generally not available with maturities exactly matching MBS cash flow payments, so interpolations are necessary to make the OAS calculation. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Option-adjusted spread」の詳細全文を読む スポンサード リンク
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