I am thinking of implementing a model to price callable bonds on a finite difference grid. I wonder how the Price to worst yield model will relate to it in terms of risks(or should do). What I expect is that with a simple yield to workout date there is only one single "best" call time which I can find by computing the min yield(often it is the first call date). And my model will yield a distribution of call dates but the mean of that should coincide with the workout date and as a result all risks are about the same?
How does it work when the best workout date is the first call date though? My model's distribution can have its mode on the first call date but not the mean and as a result don't I have larger risks with a stochastic model as duration would be larger in the model case?