Calculate the portfolios option adjusted spread Per 1000 par

Calculate the portfolio\'s option adjusted spread:

*Per $1000 par value

Bond	Maturity	Face Value	Price*	Accrued interest*	Option-Adjusted Spread
Bond A	2 years	$3 M	955	11.59	125
Bond B	4 years	$2 M	975	10.75	175
Bond C	5 years	$4 M	985	9.55	185
Bond D	3 years	$1 M	960	13.50	145

OAS = 161.35

	Market Value	weight	OAS	weight*OAS
A	2.87	0.2949	125.0000	36.8631
B	1.95	0.2007	175.0000	35.1261
C	3.94	0.4056	185.0000	75.0283
D	0.96	0.0988	145.0000	14.3284

$Calculate the portfolio\'s option adjusted spread: *Per $1000 par value Bond Maturity Face Value Price* Accrued interest* Option-Adjusted Spread Bond A 2 years$

Calculate the portfolios option adjusted spread Per 1000 par

Solution

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