[CFAL2]固收3
2020-03-20 本文已影响0人
廓然寄畅
- Bond with option
- Callable Bond: 给予bond issuer赎回权, 利率较低时会行权
- Putable Bond: 给予bond holder卖回权,利率较高时会行权
- Extendible Bond: 给予bond holder延期权,利率较低时会行权，可以转化为Putable Bond
- Convertible Bond: 给予bond holder将债券转化为股票的权利, 嵌入了call option on stock
- Bonds with estate puts: 给予bond holder继承人在bond holder去世后以par value提前卖回bond issuer的权利
- Sinking fund bond: 给予bond issuer在sinking fund还债时可以超出原定现金的权利
- Callable/ Putable Bond Valuation
- Using binomial tree model
- Calculate embedded option value
- Interest Rate Volatility increases, the value of embedded option increases.
- OAS, option-adjusted spread，剔除权利后的spread, measure of value relative to the benchmark
