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add OAS spread #38

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yellowbean opened this issue Jun 22, 2023 · 5 comments
Open

add OAS spread #38

yellowbean opened this issue Jun 22, 2023 · 5 comments
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@yellowbean
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Introduction to Securitization - 2008 - Fabozzi - Appendix B Valuing Mortgage‐Backed and Asset‐Backed Securities.pdf

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20190619_OAS.pdf

@yellowbean yellowbean added enhancement New feature or request feature and removed enhancement New feature or request labels Jul 6, 2023
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Option Adjusted Spreads (Definition, Formula) _ Calculation with Examples.pdf

@yellowbean yellowbean linked a pull request Mar 1, 2024 that will close this issue
0.26.1 #154
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Screenshot 2024-03-01 at 12 21 40

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The input will be :

  • a list of interest paths, alongside with prepayment curve
    interest path should be paired with prepayment curve, as low market interest rate curve leads to high prepayment behavior
  • with each pair of interest curve/prepayment, generate a path of pool cashflow, then feed to bond cashflow with same interest curve. PV the bond cashflow with spread grid
  • average the PV of each spread grid
  • interpolerate PVs/Spreads with input market price

@yellowbean yellowbean removed a link to a pull request Mar 23, 2024
0.26.1 #154
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