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Can someone verify (maybe there is some literature around) the following relationships?

  1. Callable Bond= Long on Bond + short on a Call Position -->

PV(CallableBond) = PV(Bond) - Call on Bond?

or state differently:

PV(Bond) - PV(Callable Bond) = Call on Bond?

  1. Since a Receiver Swaption equals a Call on a Bond following should be true?

PV(Bond) - PV(Callable Bond) = ReceiverSwaption?

Maybe someone can provide me with some literature regarding this Topic.

Thanks,

K.S.

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  • $\begingroup$ These are correct, except in swaption pricing the counterparty risk is often handled differently, and in bond pricing we often think about credit risk (stochastically varying or deterministic) $\endgroup$ – Brian B Nov 4 '16 at 16:13

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