Receiver swaption = call option on bond
Callable bond = vanilla bond - call option
Payer swaption = put option on bond
Puttable bond = vanilla bond + put option
Now a little bit of algebra will tell you what you need to do to add/remove call/put
deriv108 Wrote:
-------------------------------------------------------
> The answer depends on who is removing the call:
> bond issuer or bond holder?
Tru dat.
My equations are from an investor's i.e. long perspective.
发表于 2011-7-11 19:30
| 