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I have been through the CITI Yield book paper and the OAS by Barclays. Is there is anything else that tackles this topic?

Any help would be much appreciated.

Cheers!

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  • $\begingroup$ Boyarchenko (2014): Understanding Mortgage Spreads . Miller, Tom (2007): Introduction to Option-Adjusted Spread Analysis. $\endgroup$ – Alex C Jan 29 '17 at 23:59

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