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by zuwdzordz
January 18th, 2013, 12:26 pm
Forum: General Forum
Topic: OAS Spread.
Replies: 9
Views: 67777

OAS Spread.

<t>Hi,I try to value call on the bond. The main problem is this callable bond is not quoted, so I don't have bond's market price. I have Hull-White tree model to calculate value of the option but I don't know what credit spread should I use. Should I use OAS? If yes how can I determine how big it is...