Questions tagged [callable-bonds]
The callable-bonds tag has no usage guidance.
10
questions
2
votes
1answer
135 views
Any good papers on Fixed Income Option pricing?
Whilst I have managed to find plenty of material on pricing of Interest Rate Options (i.e. Caps, Floors, Swaptions, spread-options, etc.), I haven't really managed to find any solid papers on the ...
2
votes
1answer
78 views
Misleading Yield (Callable Bonds with call price 100)
When looking at Callable Bonds, I've noticed that we often have a call price of 100 with a call date a few month before expiry. For example:
US09681MAS70: coupon <...
3
votes
1answer
93 views
Cox-Ingersoll-Ross: Monte Carlo Simulation
I am trying to build a Monte Carlo simulation in Excel (yes, far from optimal) for valuation of a callable bond. I have some experience with MC simulation on path dependent derivatives with stocks as ...
0
votes
0answers
34 views
How to implement CallableFloatingRateBond in QuantLib?
Is there anybody has any idea (or any C++ code) to implement the pricer for the CallableFloatingRateBond in QuantLib. I want to discount and forecast the cash flows on the tree using the Hull White ...
0
votes
1answer
75 views
0
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0answers
12 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
87 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
873 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
532 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
669 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 ...
