标题: fixed income delimma [打印本页] 作者: AndyNZ 时间: 2011-7-13 16:11 标题: fixed income delimma
(1)when interest rate volatility not change, interest rate increase(not decrease), callable bond will not be called, but price decrases less than pure bond, given callable bond=pure-call option, does call option value decrease? but volatility not change. and CFA expert says interest rate change not affect option
(2).Do we use Effective duration to measure both callable bond and MBS, CDO, why we can't use modified duration and coupon duration for callable bond. is coupon duration better than modified duration?
