期权调整利差(OAS)方法在MBS证券定价中的应用研究

Applied Study of OAS Method in MBS Pricing

本文首先分析了MBS证券定价的特点及其与一般固定收益证券定价的差异性,在此基础上,本文通过对期权调整利差(OAS)方法基本原理的分析,提出了OAS方法在MBS证券定价应用上的优越性。同时,文章也探讨了运用OAS方法对MBS证券进行定价的一般过程,最后提出了OAS方法存在的缺陷。

First, This paper presents the characteristics of MBS pricing and the differences between MBS and fixed-lncome securities pricing. Accordingly, based on the analysis of fundamental principles of OAS method, this paper explores the advantages of OAS method in MBS pricing. Then this paper introduces the general process of OAS method in MBS pricing. The disadvantages of OAS method are also discussed in the third part of this paper.