The following information is available for two bonds:
Bond X is callable and has an option-adjusted spread (OAS) of 55bp. Similar bonds have a Z-spread of 68bp and a nominal spread of 60bp.
Bond Y is putable and has an OAS of 100bp. Similar bonds have a Z-spread of 78bp and a nominal spread of 66bp.
The embedded option cost for Bond:
Option cost (Bond X) = Z-spread – OAS = 68bp – 55bp = 13bpOption cost (Bond Y) = Z-spread – OAS = 78bp – 100bp = - 22bp
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