Using zero coupon Treasury curve, I discounted a 10% coupon bond. Using the same curve, I discounted a 5% coupon bond. Both these bonds have the same maturity. Since I discount both these bonds using the same curve, I should get two yields where the difference reflects the coupon effect.
I put in these two yields into Bloomberg and theoretically the OAS on both of them should match but it doesn't. Shouldn't the OAS match because the coupon effect is already accounted for. What would them be different?