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Option adjusted duration

• Refers to the measurement of duration which is targeted for the stated first option (put or call) feature. This reduces the duration statistic from its ordinary measurement. For embedded option securities such as mortgages or other pre payable loans, an estimate is calculated for the expected time of the first option exercise.

 
 

Follow this link for all the terms related to optionratio.

 
 Embedded terms in definition
 Duration
Embedded option
Exercise
Option
Securities
Time
 
 Related Terms
 
Abandonment option
Adjusted basis
Adjusted gross income
Adjusted present value
American option
American style option
Annuity form or option
Arbitrage free option pricing models
Asian option
Bargain purchase price option
Binary option
Binomial option pricing model
Black option model
Black scholes option model
Black scholes option pricing model
Butterfly option spread
Call an option
Call option
Compound option
Covered or hedge option strategies
Currency option
Delta hedge of an option
Delta of an option
Dollar duration
Doubling option
Down and in option
Down and out option
Duration
Duration gap
Duration mismatch
Effective duration
Elasticity of an option
Embedded option
European option
European style option
Exercise or option price
Exercising the option
Explicit option
Foreign currency option
Futures option
Gamma of an option
Garmen kohlhagen option pricing model
Greenshoe option
Ho lee option model
Implicit option
In the money option
Index and option market
Index option
Intrinsic value of an option
Irrational call option
Liquid yield option note
Lookback option
Macaulay duration
Modified duration
Mortgage duration
Multi option financing facility
Naked option
Naked option position
Naked option strategies
Negative duration
Net adjusted present value
Option
Option adjusted spread
Option adjusted spread model
Option elasticity
Option models
Option not to deliver
Option premium
Option price
Option seller
Option trading strategies
Option type
Option writer
Out of the money option
Path dependent option
Postponement option
Prepayment option
Put an option
Put option
Quality option
Rho of an option
Risk adjusted discount rate
Risk adjusted profitability
Risk adjusted return
Seller's option
Short option minimum charge
Split fee option
Stock index option
Stock option
Swap option
Tax deferral option
Tax timing option
Time value of an option
Timing option
Two state option pricing model
Virtual currency option
Wild card option
Yield curve option pricing models
Yield to call, option or event date

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