Suppose that I need to find the yield-to-worst of a callable bond, and that the option is American (call any time). The bond may have step-up coupons and/or non-constant call price (oprion strike). Brute force calculation of the yield-to-call for every possible call date can take a long time. Is there any way to speed up this search? I was thinking of something similar to Newtorn-Raphson or Brent in spirit.



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.