All Questions
6
questions
1
vote
2
answers
756
views
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 ...
- 31
0
votes
0
answers
47
views
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?
- 59
1
vote
0
answers
80
views
Tree Pricing FRN Implementation
When pricing a bond via a short rate model on a tree, it seems natural to include intermediate time steps in addition to those corresponding to cashflow dates (i.e. for bonds with American style ...
- 11
0
votes
1
answer
90
views
Duration and convexity of an open term loan/bond!
Imagine an open term loan with monthly interest payments of [x]% and the principle due when the loan is closed. Both the lender can call the loan, and the borrower can return the loan (with no penalty)...
- 1
0
votes
1
answer
728
views
Callable Corporate Bonds: Why Issue a Callable Bond That Has a First Call Date <6 months to Final Maturity?
My understanding is that firms typically issue callable bonds to benefit from possible refinancing in a lower interest rate environment. What, then, is the point of issuing a bond, say, today (06/30/...
- 1
1
vote
1
answer
227
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 ...
