Re: [Quantlib-users] Determine Option-Adjusted Spread (OAS) of Callable Bond

[Luigi B. <lui...@gm...>]

Jan,
    your rates are off by a factor of 100.  A rate of 2% needs to be
written in as 0.02, not 2.0.

Best,
    Luigi



On Wed, May 5, 2021 at 5:08 PM Jan Muller <jan...@gm...> wrote:

> Hey,
>
> I am attempting to price a callable bond and determine the option-adjusted
> spread of a callable bond under the Hull-White model. I have an example of
> code attached enclosed:
>
> https://stackoverflow.com/questions/67370737/oas-quantlib-of-callable-bond
>
> Unfortunately, the results I am obtaining for OAS are always negative,
> though the obtained bond yields from the same object seem reasonable. Does
> anyone have any ideas of what is going wrong?
>
> The bond should be callable on either a) the call dates (European) at the
> prices provided or b) on the coupon dates (Bermudan/American).
>
> Best Regards,
> Jan Muller
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