The ICE BofA Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of all bonds in a given maturity and rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond’s OAS, weighted by market capitalization.

The Option-Adjusted Spread (OAS) is the spread relative to a risk-free interest rate, usually measured in basis points (bp), that equates the theoretical present value of a series of uncertain cash flows to the market price of a fixed-income investment. The spread is added to the risk-free rate to compensate for the uncertainty of the cash flows.

See definitions:

Option Adjusted Spread (OAS) in Python

Install the Finance Toolkit with:

pip install financetoolkit -U

Then call get_ice_bofa_option_adjusted_spread as shown below.

from financetoolkit import FixedIncome

fixedincome = FixedIncome(
    start_date='2024-01-01',
    end_date='2024-01-15',
)

fixedincome.get_ice_bofa_option_adjusted_spread()

Which returns:

Date 1-3 Years 3-5 Years 5-7 Years 7-10 Years 10-15 Years 15+ Years
2024-01-01 77 94 108.5 127 131.5 118
2024-01-02 78 95 109 128 133 119
2024-01-03 80 98 113 133 136 122
2024-01-04 80 98 112 133 135 122
2024-01-05 80 98 112 132 134 121
2024-01-08 79 98 112 132 134 120
2024-01-09 78 96 110 130 131 117
2024-01-10 77 94 108 128 128 113
2024-01-11 75 94 107 128 127 113
2024-01-12 74 94 107 128 126 112
2024-01-15 74 94 107 128 125 111

Parameters

The function accepts the following parameters:

  • maturity (bool, optional): Whether to return the maturity option adjusted spread or the rating option adjusted spread.
  • rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.
  • standardize (bool, optional): Whether to standardize (Z-Score) the result. Defaults to False.
Effective Yield Total Return Yield to Worst
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