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yuoska

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tT
发表于 2011-7-13 13:18 | 只看该作者

Bullets vs. Barbells vs. Callables vs. Putables

falling, interest, 2010
In a rising interest rate environment, do

Callables and Putables outperform Bullets / Barbells?



In a falling interest rate environment, do

Bullets / Barbells outperforms Callables and Putables?



Edited 1 time(s). Last edit at Wednesday, June 2, 2010 at 02:17PM by niraj_a.
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cityboy

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发表于 2011-7-13 13:18 | 只看该作者
For the second one I would say yes for sure.... the first one I would say yes most of the time, but there is probably some situation where it will not be the case..

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mar350

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发表于 2011-7-13 13:18 | 只看该作者
Due to negative convexity caused by the embedded option, callable bonds do

Underperform non-callables when interest rates fall due to their negative convexity.

Outperform non-callables when interest rates rise as the probability of call falls.

However, when yields are very high, relative to coupon rates, the callable bonds will behave much the same as the non-callable.

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