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Is there any literature that discusses adjusting a bond for various PIK (Pay-in-Kind) options? I'm trying to benchmark a loan with a PIK option with non-PIK bonds.

Edit: The loan has a payment in kind option where the borrower can pay interest in a deferred manner.

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  • $\begingroup$ Currently your question seems too broad to me, can you specify what the acronym "PIK" stands for and be more precise about the optionality you are speaking about? $\endgroup$ – Daneel Olivaw Oct 10 '17 at 16:15
  • $\begingroup$ Duplicate of quant.stackexchange.com/questions/36109/… , which unfortunately was never answered $\endgroup$ – noob2 Oct 10 '17 at 17:57
  • $\begingroup$ It depends of what is the payment ? If it is additional bonds i/o cash then you can consider that those coupons are actually callable bonds (the issuer can call them on the coupon date by paying you cash coupon i/o bond coupon). $\endgroup$ – Lliane Oct 11 '17 at 7:14

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