k*n
发帖数: 108 | 1 15年的FNCI 4.5 PT, market qoute 101.63, 把prepay model multiply以后，为什么
OAS 变小了 （假设price 101.63 不变）？
多谢了！ | r**u
发帖数: 69 | 2 Don't quite understand what you mean by "prepay model multiply".
However, if you hold the same price and allow more possibility of faster
prepay, the prepay options cost goes up.
Since Z spread = Option cost + OAS, your OAS would go down.
【在 k*n 的大作中提到】
: 15年的FNCI 4.5 PT, market qoute 101.63, 把prepay model multiply以后，为什么
: OAS 变小了 （假设price 101.63 不变）？
: 多谢了！
| k*n
发帖数: 108 | 3 got it. forgot that oas is applied to ALL scenarios conditioning on the fact
that if
prepay =0, OAS would equal to z sprd after averaging all scenarios'
cashflows.
15 yr paper's oas widened these days, pehaps the prepay model did not factor
the government's purchase plan.
thanks very much for the reply!
【在 r**u 的大作中提到】
: Don't quite understand what you mean by "prepay model multiply".
: However, if you hold the same price and allow more possibility of faster
: prepay, the prepay options cost goes up.
: Since Z spread = Option cost + OAS, your OAS would go down.
| f********e
发帖数: 3 | 4 There is nothing about simulating different scenarios and option cost.
Actually option cost is a function of interest rate vol, interest rate and
prepay S Curve sensitivity, which is not easy to compute directly. For you
question, it is better to think this way:
For ITM bond when prepay speeds up, OAS goes down.
fact
factor
【在 k*n 的大作中提到】
: got it. forgot that oas is applied to ALL scenarios conditioning on the fact
: that if
: prepay =0, OAS would equal to z sprd after averaging all scenarios'
: cashflows.
: 15 yr paper's oas widened these days, pehaps the prepay model did not factor
: the government's purchase plan.
: thanks very much for the reply!
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