基于OAS的抵押支持证券的利率风险度量

在介绍传统麦考莱持续期与凸度衡量抵押支持证券价格对利率敏感性的基础上，分析了麦考莱持续期和凸度在测量隐含期权债券价格利率风险时存在的局限性。提出了更能准确度量利率风险的基于期权调整利差技术的持续期和凸度，即DC憾和COAS，给出了OAS测量债券价格利率敏感性的方法和步骤；并利用利率模拟技术和现金流计算模型。给出了求解OAS的详细过程．

Interest-rate Risk Measurement of Mortgage-backed Securities Based on OAS

After introducing Maculae Duration & Convexity to measure the risk of mortgage-backed securities by the sensibility upon interest-rate , this paper analyzed the limitations using Maculae Duration & Convexity to measure the interest-rate risk of the implied price of options and bonds, and put forward an option-adjusted duration and convexity, namely D_(OAS) and C_(OAS), which can measure the interest rate sensitivity more accurately, and provided the methods and steps to use OAS to measure the sensibility of price upon interest-rate of bond. Finally, this paper utilized the technology of imitating interest rate and the model of calculating cash flows, and provided the detailed course to solve OAS.