optByBatesFFT | Option price by Bates model using FFT and FRFT |
optSensByBatesFFT | Option price and sensitivities by Bates model using FFT and FRFT |
optByBatesNI | Option price by Bates model using numerical integration |
optSensByBatesNI | Option price or sensitivities by Bates model using numerical integration |
optByBatesFD | Option price by Bates model using finite differences |
optSensByBatesFD | Option price and sensitivities by Bates model using finite differences |
Agency Option-Adjusted Spreads
Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.