Timeline for Sanity check - How to price callables
Current License: CC BY-SA 3.0
9 events
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| Jul 2, 2012 at 8:04 | comment | added | Owe Jessen | Thanks for the reply. Seems I have taken a shortcut assuming a call price of 100 in every case - should I be able to expect the users that they will be able to provide the call price (this is for a software to calculate Solvency II risks in the standard formula). Theoretically I am using a truncated tree, in which i either have a terminal node in each date, if the bond is called with probability $p_t$, or the bond is not called, and i get to the next node with $1-p_t$ | |
| Jul 2, 2012 at 7:55 | vote | accept | Owe Jessen | ||
| Jul 2, 2012 at 7:55 | history | bounty ended | Owe Jessen | ||
| Jul 1, 2012 at 14:37 | history | edited | Ram Ahluwalia | CC BY-SA 3.0 |
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| Jun 30, 2012 at 12:08 | history | edited | Ram Ahluwalia | CC BY-SA 3.0 |
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| Jun 30, 2012 at 0:03 | history | edited | Ram Ahluwalia | CC BY-SA 3.0 |
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| Jun 29, 2012 at 23:12 | history | edited | Ram Ahluwalia | CC BY-SA 3.0 |
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| Jun 29, 2012 at 20:03 | history | edited | Ram Ahluwalia | CC BY-SA 3.0 |
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| Jun 29, 2012 at 14:10 | history | answered | Ram Ahluwalia | CC BY-SA 3.0 |