Questions tagged [callable-bonds]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
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 ...