The option-adjusted spread measures the yield spread over the Treasury on-the-run yield curve. Explain why you agree

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“The option-adjusted spread measures the yield spread over the Treasury on-the-run yield curve.” Explain why you agree or disagree with this statement.

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:40 AM

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The option-adjusted spread measures the yield spread over the Treasury on-the-run yield curve. Explain why you agree

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As seen below there are various ways to measure the optionadjusted yield spread ...View the full answer

Bond Markets Analysis and Strategies

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