微信扫一扫
实时资讯全掌握
|
An analyst has constructed an interest rate tree for an on-the-run Treasury security. The analyst now wishes to use the tree to calculate the convexity of a callable corporate bond with maturity and coupon equal to that of the Treasury security. The usual way to do this is to calculate the option-adjusted spread (OAS): A. compute the convexity of the Treasury security, and divide by (1+OAS). B. shift the Treasury yield curve, compute the new forward rates, add the OAS to those forward rates, enter the adjusted values into the interest rate tree, and then use the usual convexity formula. C. compute the convexity of the Treasury security, and add the OAS. |