Option Adjusted Spread
From Open Risk Manual
Revision as of 16:52, 1 December 2022 by Wiki admin (talk | contribs) (Created page with "== Definition == '''Option Adjusted Spread''' is the Spread (difference) on the price of a similar non-prepayable fixed income product to account for Prepayment Risk...")
Definition
Option Adjusted Spread is the Spread (difference) on the price of a similar non-prepayable fixed income product to account for Prepayment Risk
The "option" being referred to is the Prepayment Option held by the Borrower where that is allowed by the loan contract.
