3 ms·
Does anyone on this thread currently know what the current industry S.O.P. for calculating the option-adjusted spread (OAS) on agency MBS? Back when I was doing
by nateburke 8y ago
Does anyone on this thread currently know what the current industry S.O.P. for calculating the option-adjusted spread (OAS) on agency MBS? Back when I was doing it in 2012, Monte Carlo simulation was still the gold standard, as far as I could tell.