Option Adjusted Spread (OAS)
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:
- Ratings: https://fred.stlouisfed.org/series/BAMLC0A4CBBB
- Maturity: https://fred.stlouisfed.org/series/BAMLC1A0C13Y
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Calculate the Option Adjusted Spread (OAS) in Python
The Option Adjusted Spread (OAS) is available in the Fixed Income module of the open-source Finance Toolkit. Install it 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
get_ice_bofa_option_adjusted_spread 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.
Related Corporate Bonds
The Fixed Income module page introduces the module, and the sidebar lists all of its functions.