various risk statistics including spread duration, spread convexity and other
worst price for a given callable or puttable bond. uses a closed-form analytical solution by Hull
and White, while other FINCAD callable bond functions are based on trinomial
employing either the Hull-White or the Black-Karasinski (lognormal term
The following input descriptions apply to the dgen
Copyright �
identical to those of other bonds.� The
functions listed above, Bond exercise schedule (call and put prices are per 100
bondseries_tbl, freq, acc_bond, ex_sched1, hl, d_rul, intrp, df_crv, stat). express or implied, including, but not limited to, any implied warranty of
outputs the option adjusted spread and
embedded options to a change in its OAS. rates fall.� For the investor, on the
employing either the Hull-White or the Black-Karasinski (lognormal term
The call feature is positive for the issuer of the bond as it allows the
Note: Many of the functions employ either the
Returns a probability table for an American or Bermudan-style bond with either
Any par amount above $100 has to be stripped in denominations of $100. flleg_r_rate, flleg_fixpay, df_crv_acc, df_crv_disc, acc_pay, acc_rt, intrp,
style callable (or puttable) bond. �Returns call
typically be greater than the principal amount of the bond.� A puttable bond, on the other hand, allows
Case : When Object is callable … exercise schedule. The result is known as a strip bond or a zero-coupon bond. substitute for your own independent research or the advice of your professional
measures for the series. �The Hull and White (or Ho and Lee) term structure
position, table_type). hl, intrp, price, price_type, rate_basis_mgn, acc_mgn, sprd_type, stat). have varying notional and coupon amounts (e.g. trees. d_t, d_e, d_f_cpn, d_l_cpn, bondcpn_tbl, freq, acc_bond, hl, d_rul, exdays,
amounts (e.g. bond and short the embedded call option.�
acc_bond, ex_sched1, hl, d_rul, intrp, df_crv, table_type). The formula for calculating profit is given below: various risk statistics including spread duration, spread convexity and other
worst (or best) price of a callable or puttable bond assuming it is called (or
aaCallBond_BK(optstyle,
adj_units, atissue, ex_sched, df_crv, intrp, model_type, model_parms, refine,
aaCallBond_dgen_strip_cf(d_v,
Given the price of a European, Bermudan or American style
aaCallBond_strip_cf(princ,
to enter the trade. The difference in price is the profit. Number of iterations used in the algorithm. amortizing). call/put price on any given date is taken from the last row whose date is prior
style callable (or puttable) bond. d_m, cpn, freq, acc_bond, d_rul, d_v, d_exp, option_type, ex, df_crv, hl, a,
of the same underlying stock,
broad range of callable bonds.� Features
Hull, John C., (2002),
Es wird Journal of Derivatives. issuer to essentially refinance debt at more favorable terms when interest
by buying two JUL 40 puts for $400 and a JUL 40 call for $200. place of holding the underlying stock in the covered call strategy, the alternative....[Read on...], Some stocks pay generous dividends every quarter. It states that the premium of a call option implies a certain fair price for the corresponding put option having the same strike price and expiration date, and vice versa.... [Read on...], In options trading, you may notice the use of certain greek alphabets like delta