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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.
While compact, effective duration only measures the effect of a parallel shift in the yield curve across all maturities. It does not take into effect other risk factors, such as non-parallel yield curve shifts, convexity, option-adjusted spreads, and others. However, effective duration may suffice for many managers as a basic risk measure.
The dual use of the word "duration", as both the weighted average time until repayment and as the percentage change in price, often causes confusion. Strictly speaking, Macaulay duration is the name given to the weighted average time until cash flows are received and is measured in years. Modified duration is the name given to the price ...
A clickable Euler diagram showing the relationships between various multinational organizations in the Americas v • d • e. The Organization of American States (OAS or OEA; Spanish: Organización de los Estados Americanos; Portuguese: Organização dos Estados Americanos; French: Organisation des États américains) is an international organization founded on 30 April 1948 to promote ...
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The Department for Effective Public Management (DEPM) provides support to OAS Member States in matters of public management through strengthening democratic institutions. . This includes technical assistance projects in organizational design and results based management; information and communication technology (ICT) application to public sector operation; training programs and mechanisms for ...
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The Z-spread of a bond is the number of basis points (bp, or 0.01%) that one needs to add to the Treasury yield curve (or technically to Treasury forward rates) so that the Net present value of the bond cash flows (using the adjusted yield curve) equals the market price of the bond (including accrued interest).