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Determine option adjusted spread using Cox-Ingersoll-Ross model

`[`

calculates the option adjusted spread from a Cox-Ingersoll-Ross (CIR) interest-rate tree
using a CIR++ model with the Nawalka-Beliaeva (NB) approach.`OAS`

,`OAD`

,`OAC`

]
= oasbycir(`CIRTree`

,`Price`

,`CouponRate`

,`Settle`

,`Maturity`

,`OptSpec`

,`Strike`

,`ExerciseDates`

)

`oasbycir`

computes prices of vanilla bonds with embedded options,
stepped coupon bonds with embedded options, amortizing bonds with embedded options, and
sinking fund bonds with embedded option. For more information, see More About.

`[`

adds optional name-value pair arguments.`OAS`

,`OAD`

,`OAC`

]
= oasbycir(___,`Name,Value`

)

[1] Cox, J., Ingersoll, J., and S. Ross. "A Theory of the Term Structure of Interest
Rates." *Econometrica.* Vol. 53, 1985.

[2] Brigo, D. and F. Mercurio. *Interest Rate Models - Theory and
Practice.* Springer Finance, 2006.

[3] Hirsa, A. *Computational Methods in Finance.* CRC Press,
2012.

[4] Nawalka, S., Soto, G., and N. Beliaeva. *Dynamic Term Structure
Modeling.* Wiley, 2007.

[5] Nelson, D. and K. Ramaswamy. "Simple Binomial Processes as Diffusion
Approximations in Financial Models." *The Review of Financial Studies.*
Vol 3. 1990, pp. 393–430.

`bondbycir`

| `capbycir`

| `cfbycir`

| `fixedbycir`

| `floatbycir`

| `floorbycir`

| `optbndbycir`

| `optembndbycir`

| `optemfloatbycir`

| `optfloatbycir`

| `rangefloatbycir`

| `swapbycir`

| `swaptionbycir`