Agency OAS Models

Calculate price and spread for Agency OAS

The Agency OAS model helps investors understand the additional yield (spread) they can earn over a benchmark yield curve, after accounting for the embedded options in these securities, such as prepayment risk. Calculate the price and spread using the Agency OAS model with the following functions:

Functions

`agencyoas`	Determine option-adjusted spread of callable bond using Agency OAS model
`agencyprice`	Price callable bond using Agency OAS model

Topics

Agency Option-Adjusted Spreads
Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.