Questions tagged [callable-bonds]
The callable-bonds tag has no usage guidance.
14
questions
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1answer
59 views
Why do a callable bond always have higher yields?
In an american callable bond there is an expectation for the issuer to prepay its debt prior to maturity. I understand that this reduces it's value and therefore, higher yield.
But another way to ...
0
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1answer
84 views
Risk measurement of multicallable bonds
Assume you have bought a multicallable bond where the issuer has the right to redeem the notional at various dates, e.g. a $10$ yr maturity, $5$% coupon yearly and each year one call date. Next, ...
2
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0answers
64 views
how do traders typically hedge a callable zero coupon bond?
i've seen termsheets of callable accreting notional swaps where the accretion rate equals the fixed coupon rate. apparently these are used to hedge callable zcb's. but it doesnt seem to make sense! ...
2
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2answers
63 views
What are clean price and accrual of a called bond
I found that after a bond is called (after the call effective date), BBG still shows bond prices for a few more days.
Take XS1648303813 for example, it is called on 24th Sep 2020, but it has prices ...
2
votes
1answer
178 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
106 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
110 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
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38 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 ...
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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
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0answers
96 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
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1answer
1k 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
617 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
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1answer
763 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 ...
