Questions tagged [callable-bonds]
The callable-bonds tag has no usage guidance.
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How does it help to make callable bonds floating if not called?
As I understand it, fixed-rate callable bonds are often structured in such a manner that if the bond is not called on its first call date, the bond becomes a floating variable bond.
This, I imagine, ...
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Callable Bond Delta Profile
I am analyzing a callable bond with 10 Years of maturity coupon paid monthly at market rate plus the spread of 25 bps. The bond has an American Call option embedded. The strike price of a bond option ...
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How would one calculate yield to first call for a debt security which is currently and always callable?
If an asset manager has multiple extended warehouse lines outstanding and each one is currently callable (some with penalties, some without), is it simply the case that a ‘to first call’ performance ...
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Pricing a zero coupon callable bond
Suppose I have a 20-year zero bond with a call date in 10 years and a zero interest rate of 2%, which is currently valued at a Z-spread of 100. Now I would like to evaluate the right of termination ...
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Pricing a floating rate callable bond with rate scenarios, please help!
I need to price a floating rate callable bond in Excel. I am new to this and struggling to find good information on this specific situation.
I have several rate scenarios until maturity, i.e. the ...
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Pricing a (general) callable floating rate note
I have a question generalizing this situation: Pricing Callable Floating Rate Note.
I want to price a callable floating rate note, where the coupon can also be capped and the reference index can be ...
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Is z spread always ‘better’ than nominal spread?
If nominal spread is the addition to the treasury yield at the WAL of the risky bond cashflows (to worst) necessary to make the npv of the cashflows equal to a given price, and z spread is the ...
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Can effective duration > modifed duration for a callable bond? I get that in QuantLib
I am using QuantLib to create a CallableFixedRateBond. I set up the HullWhite model as the pricing engine and compute effective duration and modified duration. Given the price of the bond is heavily ...
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Will be callable bond called or not? Estimating probabilities
Suppose we have a callable bond in the market. The problem is to find out the probability of being called and the probability of being held until the maturity. My approach for this problem is the ...
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Macaulay Duration of a Callable Bond [closed]
I could not find any formula of Macaulay duration for a callable bond in the literature. Can anybody show how to derive it or give a reference where it is already obtained.
EDIT My goal is to find a ...
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Pricing a callable bond in a minimal way
I am looking for a minimal way to price callable bond from a defaultable issuer. The idea is to assume that we are in a deterministic world (i.e no volatility).
I tried a methodology but I am not sure ...
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TBA - what is and isn't a TBA? (help please)
this is probably a naming issue - but i am totally confused as the documentation is never clear. I understand well what a generic TBA is, what is a "STIP"? is it also a form of TBA? One doc ...
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Pricing fixed rate redeemable bond
A redeemable fixed rate bond has a yearly payment schedule $T_1,\ldots,T_m,\ldots,T_n$ : at each $T_i$ is paid the coupon $c$ (I assume the year fraction is approximativately $1$) (and a notional $X$ ...
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Call probability of a callable swap
For one call date,
The call probability is just the probability that the swap rate for the remaining life of the swap is below the strike rate. This is easily obtainable in a normal vol model, it is :
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Why do bonds with a shorter next call dates have shorter extension risk?
I was reading a research article and I'm not really understanding why. Is it to do with the option premium being priced in at the beginning?
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