Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7319.html
On Tue, 2009-03-03 at 11:05 -0800, gigifaye29 wrote:
> [ about callable bonds ]One thing I still haven't figured out is
> that, .npv() gives me a value beyond strike(not capped) in the
> situation that the option is in money....
Does the bond have other call dates after this one? And when you say
that the option is in the money, do you mean that the strike is greater
than the price of the underlying bond with or without the other call
dates? It might be that the option is in the money, but the pricer is
calculating that holding the option will give a better payoff on one of
the future call dates.
Luigi
--
There is no such thing as public opinion. There is only published
opinion.
-- Winston Churchill
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