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9#
发表于 2012-4-2 17:15
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For a putable bond, callable bond, or putable/callable bond, the nodal-decision process within the backward induction methodology of the interest rate tree framework requires that at each node the possible values will:A)
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not be higher than the call price or lower than the put price. |
| B)
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include the face value of the bond. |
| C)
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be, in number, two plus the number of embedded options. |
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At each node, there will only be two values. At each node, the analyst must determine if the initially calculated values will be below the put price or above the call price. If a calculated value falls below the put price: Vi,U = the put price. Likewise, if a calculated value falls above the call price, then Vi,L = the call price. Thus the put and call price are lower and upper limits, respectively, of the bond’s value at a node. |
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