Option-Adjusted Spread (OAS) Calculator

Calculate the Option-Adjusted Spread for callable bonds, putable bonds, and mortgage-backed securities. OAS strips out the embedded option value from the yield spread, providing a pure credit quality measure for comparison.

Market Price (per £100)
Coupon (%)
Maturity (years)
Volatility (% annual)
OAS method: A binomial short-rate tree is built from the annual volatility, the bond is priced by backward induction with a constant spread added to every node, and the spread is solved by bisection until the price residual converges to the market price. Results are illustrative and not investment advice.
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How It Works

Calculate the Option-Adjusted Spread for callable bonds, putable bonds, and mortgage-backed securities. OAS strips out the embedded option value from the yield spread, providing a pure credit quality measure for comparison

Each component has a specific meaning:

  • Yield spread — The yield spread recorded for the scenario being assessed.
  • Providing a pure credit quality measure — The providing a pure credit quality measure recorded for the scenario being assessed.

Note: Interpret the oas calculator result against the thresholds and context described above.

How to Use

Enter the yield spread, providing a pure credit quality measure for the scenario you are assessing. Calculate the Option-Adjusted Spread for callable bonds, putable bonds, and mortgage-backed securities. OAS strips out the embedded option value from the yield spread, providing a pure credit quality measure for comparison. Use the oas calculator result to inform your calculation.

Frequently Asked Questions