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Callable Bonds and Valuation

Callable Bonds and Valuation

A callable bond is a bond in which the issuer has the right to call the bond at specified times from the investor for a specified price. At each callable date prior to the bond maturity, the issuer may recall the bond from its investor by returning the investor’s money. The underlying bonds can be fixed rate bonds or floating rate bonds. A callable bond can therefore be considered a vanilla underlying bond with an embedded Bermudan style option. Callable bonds protect issuers. Therefore, a callable bond normally pays the investor a higher coupon than a non-callable bond. This presentation gives an overview of callable bond and valuation model. You can find more information at http://www.finpricing.com/lib/FiCallableBond.html

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Practical Guide for Valuing Puttable Bond and Valuation

Practical Guide for Valuing Puttable Bond and Valuation

A puttable bond is a bond in which the investor has the right to sell the bond back to the issuer at specified times for a specified price. At each puttable date prior to the bond maturity, the investor may get the investment money back by selling the bond back to the issuer. The underlying bonds can be fixed rate bonds or floating rate bonds. A puttable bond can therefore be considered a vanilla underlying bond with an embedded Bermudan style option. Puttable bonds protect investors. Therefore, a puttable bond normally pays investors a lower coupon than a non-callable bond. This presentation gives an overview of puttable bond and valuation model. You can find more information at http://www.finpricing.com/lib/FiPuttableBond.html

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Callable Bond and Vaulation Dmitry Popov FinPricing http: //finpricing

Callable Bond and Vaulation Dmitry Popov FinPricing http: //finpricing

Callable Bond and Vaulation Dmitry Popov FinPricing http: //www.finpricing.com. Callable Bond. Summary Callable Bond Definition The Advantages of Callable Bonds Callable Bond Payoffs Valuation Model Selection Criteria LGM Model LGM Assumption LGM calibration Valuation Implementation

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Practical Guide for Pricing Interest Rate Bermudan Swaption

Practical Guide for Pricing Interest Rate Bermudan Swaption

An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an interest rate swap at predefined dates. It is one of the fundamental ways for an investor to enter a swap. Comparing to regular swaptions, Bermudan swaptions provide market participants more flexibility and control over the exercising of an option and less restriction.<br><br>Given those flexibilities, a Bermudan swaption is more expensive than a regular European swaption. In terms of valuation, it is also much more complex. This presentation provides practical details for pricing cancelable swaps. You find more information at http://www.finpricing.com/lib/IrBermudan.html

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