Discount Margin and OAS

Full featured financial fixed-income, credit, and bond analytics/risk

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Milestone: 1.3

Status: open

Owner: nobody

Labels: None

Updated: 2012-03-26

Created: 2012-03-26

Private: No

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.