[CFAL2]固收3

  1. 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
  1. 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

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