Find the OAS of a 3-year callable bond trading at 97597. Assume the bond pays an annual coupon of 96 and is callable at 10175 at the end of each year Assume current 1-year rates are 96 and we expect them to go up or down by 06 each year with equal probability. Provide your answer in basis points rounded to the nearest basis point.

Answer rating: 100% (QA)

The OAS of a 3year callable bond trading at 97597 is 38 To calculate the OAS we first need t... View the full answer