标题: Bullets vs. Barbells vs. Callables vs. Putables [打印本页] 作者: yuoska 时间: 2011-7-13 13:18 标题: Bullets vs. Barbells vs. Callables vs. Putables
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.作者: cityboy 时间: 2011-7-13 13:18
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..作者: mar350 时间: 2011-7-13 13:18
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.
