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option-adjusted-spread

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Master bond options, find true value, rest easy.

Finance & Accounting#valuation#options#bonds#fixed income#monte carlo#OAS#binomial tree
Authorkeith-mvs
Version1.0.0
Installs0

System Documentation

What problem does it solve?

Valuing bonds with embedded options (callable, putable, MBS) is complex and requires advanced financial models. This skill automates these calculations, providing accurate pricing and yield comparisons to help you make informed investment decisions and identify mispricing opportunities.

Core Features & Use Cases

  • Automated OAS Calculation: Precisely calculate Option-Adjusted Spread using Monte Carlo simulation and binomial tree methodologies.
  • Embedded Option Valuation: Accurately price callable bonds, putable bonds, and mortgage-backed securities (MBS) by adjusting for their embedded optionality.
  • Spread Comparison: Clearly distinguish OAS from Z-spread and nominal spread, providing a true measure of credit and liquidity risk.
  • Use Case: Quickly determine the fair value and true yield spread of a callable corporate bond, allowing you to compare it accurately against non-callable alternatives and identify mispricing opportunities without manual, error-prone calculations.

Quick Start

Calculate the option-adjusted spread for a 10-year callable bond with a 5% coupon, callable at par in year 5, using a binomial tree model.

Dependency Matrix

Required Modules

numpypandasscipy

Components

referencesassets

💻 Claude Code Installation

Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.

Please help me install this Skill:
Name: option-adjusted-spread
Download link: https://github.com/keith-mvs/ordinis/archive/main.zip#option-adjusted-spread

Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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