http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7320.html
If no other costs are considered, it should be optimal for the bond issuer to exercise the call option whenever it becomes in the money except for negative interest rate.
> From:
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[hidden email]> Date: Thu, 5 Mar 2009 11:04:20 +0100
> CC:
[hidden email]> Subject: Re: [Quantlib-users] QuantLib::Bond::cleanPriceFromZSpread
>
> 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.
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>
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