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I have below Bond -

Issue date : 1/1/2020
Principal 1,000
Coupon : 8% pa
Frequency : Semi-annual
Tenor: 2 years

This Bond has 2 specific characteristics -

1. At the maturity NO principal will be paid
2. After 1st year, Bond can be exited on 6/1/2021 (i.e. Put option attached)

Without the 2nd condition, this Bond can easily be priced using discounted CF method. However given that the 2nd option, how can I price this Bond?

Is there any software implementation to price this type of Putable Bond?

Modified based on StackG's comment

StackG pointed a lack of clarity on the payment upon premature exit, So I added the payoff profile of this bond as below -

1. At the maturity principal will be paid based on the prevailing one month average of S&P index + last coupon
2. After 1st year, Bond can be exited on 6/1/2021 (i.e. Put option attached). In that case, the prevailing one month average of S&P index as on 6/1/2021 will be paid + accrued coupon

Your pointer will be highly appreciated.

Thanks for your time.

I have below Bond -

Issue date : 1/1/2020
Principal 1,000
Coupon : 8% pa
Frequency : Semi-annual
Tenor: 2 years

This Bond has 2 specific characteristics -

Is there any software implementation to price this type of Putable Bond?

Modified based on StackG's comment

StackG pointed a lack of clarity on the payment upon premature exit, So I added the payoff profile of this bond as below -

1. At the maturity principal will be paid based on the prevailing one month average of S&P index + last coupon
2. After 1st year, Bond can be exited on 6/1/2021 (i.e. Put option attached). In that case, the prevailing one month average of S&P index as on 6/1/2021 will be paid + accrued coupon

How can I price this Putable Bond?

Your pointer will be highly appreciated.

Thanks for your time.

I have below Bond -

Issue date : 1/1/2020
Principal 1,000
Coupon : 8% pa
Frequency : Semi-annual
Tenor: 2 years

This Bond has 2 specific characteristics -

1. At the maturity NO principal will be paid
2. After 1st year, Bond can be exited on 6/1/2021 (i.e. Put option attached)

Without the 2nd condition, this Bond can easily be priced using discounted CF method. However given that the 2nd option, how can I price this Bond?

Is there any software implementation to price this type of Putable Bond?

Modified based on StackG's comment

StackG pointed a lack of clarity on the payment upon premature exit, So I added the payoff profile of this bond as below -

1. At the maturity principal will be paid based on the prevailing one month average of S&P index + last coupon
2. After 1st year, Bond can be exited on 6/1/2021 (i.e. Put option attached). In that case, the prevailing one month average of S&P index as on 6/1/2020 will be paid + accrued coupon

Your pointer will be highly appreciated.

Thanks for your time.

I have below Bond -

Issue date : 1/1/2020
Principal 1,000
Coupon : 8% pa
Frequency : Semi-annual
Tenor: 2 years

This Bond has 2 specific characteristics -

1. At the maturity NO principal will be paid
2. After 1st year, Bond can be exited on 6/1/2021 (i.e. Put option attached)

Without the 2nd condition, this Bond can easily be priced using discounted CF method. However given that the 2nd option, how can I price this Bond?

Is there any software implementation to price this type of Putable Bond?

Modified based on StackG's comment

StackG pointed a lack of clarity on the payment upon premature exit, So I added the payoff profile of this bond as below -

1. At the maturity principal will be paid based on the prevailing one month average of S&P index + last coupon
2. After 1st year, Bond can be exited on 6/1/2021 (i.e. Put option attached). In that case, the prevailing one month average of S&P index as on 6/1/2021 will be paid + accrued coupon

Your pointer will be highly appreciated.

Thanks for your time.

I have below Bond -

Issue date : 1/1/2020
Principal 1,000
Coupon : 8% pa
Frequency : Semi-annual
Tenor: 2 years

This Bond has 2 specific characteristics -

1. At the maturity NO principal will be paid
2. After 1st year, Bond can be exited on 6/1/2020 (i.e. Put option attached)

Without the 2nd condition, this Bond can easily be priced using discounted CF method. However given that the 2nd option, how can I price this Bond?

Is there any software implementation to price this type of Putable Bond?

Your pointer will be highly appreciated.

Thanks for your time.

I have below Bond -

Issue date : 1/1/2020
Principal 1,000
Coupon : 8% pa
Frequency : Semi-annual
Tenor: 2 years

This Bond has 2 specific characteristics -

1. At the maturity NO principal will be paid
2. After 1st year, Bond can be exited on 6/1/2021 (i.e. Put option attached)

Without the 2nd condition, this Bond can easily be priced using discounted CF method. However given that the 2nd option, how can I price this Bond?

Is there any software implementation to price this type of Putable Bond?

Modified based on StackG's comment

StackG pointed a lack of clarity on the payment upon premature exit, So I added the payoff profile of this bond as below -

1. At the maturity principal will be paid based on the prevailing one month average of S&P index + last coupon
2. After 1st year, Bond can be exited on 6/1/2021 (i.e. Put option attached). In that case, the prevailing one month average of S&P index as on 6/1/2020 will be paid + accrued coupon

Your pointer will be highly appreciated.

Thanks for your time.