12.2
Convertible OAS
PYTHON PLUGIN
Convertibles
Relative Value
Description
Strategy 12.2: Buy high-OAS convertible, sell low-OAS convertible from same issuer
Strategy Logic
Strategy 12.2: Convertible OAS Arbitrage.
Buy the convertible with a higher OAS, sell the convertible with a
lower OAS from the same issuer. OAS is the parallel shift in the
Treasury yield curve required to match the market price using a
pricing model.
Signal: when the OAS spread between two convertibles from the same
issuer widens beyond a threshold.
Required columns: oas (option-adjusted spread), issuer
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| oas_diff_threshold_bps | 50 | int |
| exit_diff_bps | 10 | int |
| lookback | 60 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 12.0% |