Whole Loan OAS Calculator

This calculator creates a representative loan from your inputs and runs it through LoanBook's central calculation engines, the same engines used for portfolio analytics on our platform.

BEY (Bond-Equivalent Yield) and WAL use the CPR, CDR and severity you enter. BEY is the internal rate of return that equates the present value of the projected cashflows to the purchase price, using semi-annual compounding.

OAS (Option-Adjusted Spread) uses a Hull-White short-rate model with Monte Carlo simulation. Prepayment on each path comes from LoanBook's dynamic prepayment model, so speeds respond to rates; the calculator shows the path-mean lifetime CPR it priced on. Effective duration and convexity come from the same engine.

Z-Spread is solved on the same Hull-White run at the path-mean prepayment speed. Option Cost is the larger of Z-Spread minus OAS and zero, the value of the borrower's prepayment option. COASis OAS less Credit Cost (CDR times loss severity, in basis points).

For full portfolio analytics with loan-level detail, upload a loan tape to LoanBook.