AuthorTopic: CFA Level 2 - Callable Bond Values
@2008-05-25 18:28:28
Does anyone know how to value call prices for bonds with embedded options?

This comes from Study Session 14.C.b. in the notes.

I know how to value the option free bond values at each node, but the call values at each node is a mystery. The one review question in the study notes provides one call price of 100 in the question, but not the second of 99.755.

How do you calculate 99.755?

CFA Discussion Topic: CFA Level 2 - Callable Bond Values

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Thanks again for your wonderful site ... it definitely made the difference.
Craig Baugh

Craig Baugh