Introduction to Option-Adjusted Spread Analysis: Revised and Expanded Third Edition of the OAS Classic by Tom Windas

Table of contents

1. Praise
2. ALSO AVAILABLE FROM
3. Title Page
4. Copyright Page
5. Dedication
6. Foreword
7. Acknowledgements
8. Introduction
9. About this Book
10. PART ONE - YIELD ANALYSIS VERSUS OAS ANALYSIS
    1. CHAPTER 1 - FATAL FLAWS IN TRADITIONAL YIELD CALCULATIONS
       1. Yield, Risk, and Benchmarks
       2. Calculating Yield
       3. Yield Analysis and Nonbullet Bonds
       4. Yield-to-Worst Analysis
    2. CHAPTER 2 - THE BOND AS A PORTFOLIO
       1. The Basic Attributes of Options
       2. Putable Bonds
       3. Callable Bonds
       4. Sinking-Fund Bonds
       5. Valuing the “Portfolio”
11. PART TWO - VALUING OPTIONS
    1. CHAPTER 3 - INTRINSIC VALUE
       1. Intrinsic Value
       2. Time Value
       3. Total Value
    2. CHAPTER 4 - TIME VALUE
       1. Calculating an Option’s Time Value
12. PART THREE - MODELING INTEREST RATES
    1. CHAPTER 5 - IMPLIED SPOT AND FORWARD RATES
    2. CHAPTER 6 - BEYOND THE LOGNORMAL MODEL
    3. CHAPTER 7 - VOLATILITY AND THE BINOMIAL TREE
    4. CHAPTER 8 - MATCHING THE MODEL TO THE MARKET
13. PART FOUR - MEASURING THE SPREAD
    1. CHAPTER 9 - BULLET BONDS
    2. CHAPTER 10 - NONBULLET BONDS
14. PART FIVE - APPLICATIONS OF OAS ANALYSIS
    1. CHAPTER 11 - EVALUATING PERFORMANCE
    2. CHAPTER 12 - ESTIMATING FAIR VALUE
       1. STAGE I - Screening and Organizing Market Pricing Data
       2. STAGE II - Solving for Sector Yield-Curve and Volatility Attributes
       3. STAGE III - Estimating the Theoretical Fair Value of a Bond
15. CONCLUSION
16. GLOSSARY
17. REFERENCES & ADDITIONAL READING
18. INDEX
19. About Bloomberg
20. About the Reviser