Discount Margin and OAS
Registered by
Lakshmi Krishnamurthy
Need to implement the additional bond measures:
- Discount Margin - For fixed coupon bonds - this is the yield - the implied discount rate to the exercise. For floaters, it is the yield - the reference index rate.
- Option Adjusted Spread: The bump that needs to be applied to the discount cuvre so that the computed price matches the caculated price.
Check the valuation spec for more details.
Blueprint information
- Status:
- Started
- Approver:
- None
- Priority:
- High
- Drafter:
- None
- Direction:
- Needs approval
- Assignee:
- None
- Definition:
- Approved
- Series goal:
- Accepted for creditanalytics1.3
- Implementation:
-
Deployment
- Milestone target:
-
creditanalytics1.3
- Started by
- Lakshmi Krishnamurthy
- Completed by
Whiteboard
(?)
