Question: What are the limitations of the option adjusted spread measure
What are the limitations of the option-adjusted spread measure?
Answer to relevant QuestionsWhat assumptions are required to assess the potential total return of a RMBS? The following excerpt is taken from an article titled “Fidelity Eyes $250 Million Move into Premium PACs and I-Os” that appeared in the January 27, 1992, issue of BondWeek, pp. 1 and 21: “Three Fidelity investment ...Why would you expect that a distressed convertible would have a delta of zero? This excerpt is taken from an article titled “Caywood Looks for Convertibles,” which appeared in the January 13, 1992, issue of BondWeek, p. 7: Caywood Christian Capital Management will invest new money in its $400 ...Using the correlations for the corporate bonds shown in Exhibit 21-3, calculate the duration multiplier for the three credit ratings shown in the exhibit. Exhibit 21-3 Industry Portfolio Spread Correlations with Treasury ...
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