Re: [Quantlib-dev] bond spreads/option adjusted spreads

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

On Wed, 2007-07-25 at 01:08 -0400, Zhonghua Guo wrote:
> The only thing I was getting confused about was that in all the
> "scenarios" (e.g. all the nodes on a tree for a lattice method),  i
> thought those rates were forward rates, not zero rates. 
>  
> Fabozzi does exactly what you are saying above- you model the tree (of
> forward rates, I thought) and find the constant rate when added to all
> the nodes that reprices the bond correctly. I can do it that way
> but... is it right ? I thought the OAS was defined as a spread
> over zero rates, not the forward rates.

Zero rates are averages of forward rates. If the spread over the
forwards is constant, it results in the same spread on zero rates.

Later,
	Luigi

-- 

Don't say "yes" until I finish talking. 
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