Questions tagged [callable-bonds]
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6
questions
0
votes
1answer
18 views
How can i calculate the yield given price, or price given yield for a callable bond, with several callable dates and strike prices (quantlib)
import QuantLib as ql
ql.Settings.instance().evaluationDate = ql.Date(2,3,2020)
maturity = ql.Date(10, 5, 2023)
coupon = 0.09
issueDate = ql.Date(30, 12, 2019)
frequency = ql.Semiannual
dayCount = ql....
0
votes
0answers
11 views
What are some robust Contingent Capital Instrument available?
I recently was made aware of the existence of Contingent Capital Instruments like CoCo Bonds. I was wondering if there are other robust options available for Big Banks in this domain?
4
votes
0answers
73 views
Why are negative option prices possible for callable US treasury bonds?
I am not familiar enough with the theories of option pricing to understand how negative option prices are possible. I found two research papers indicating that negative option prices are indeed ...
0
votes
1answer
307 views
Calculating YTM for a floating rate bond
I am trying to understand how YTM's are calculated for floating rate notes. I have had a go at calculating it and I am always a few bps off for every FRN I try to calculate. Does anyone have any ideas ...
3
votes
1answer
384 views
Pricing a callable bond
I have read the Lehman Brother's paper on OAS which I mostly understand, they outline how to find the OAS for a callable bond of which the formula is effectively (ignoring refinancing costs):
Market ...
7
votes
1answer
516 views
Callable bonds with very short call period. Purpose?
Looking at a portfolio of bonds, I've come across a large number of callable bonds with relatively long maturities (20 to 30 years) but very short call windows. In other words, the first and only call ...
