Re: callable bonds

Posted by John Maiden on
URL: http://quantlib.414.s1.nabble.com/callable-bonds-tp9638p9639.html

Allen-

     Maybe I'm missing something here, but wouldn't a
callable fixed rate bond be similar to a convertible bond?
All you have to do is make it a European option and then
set the conversion ratio so small that it will never be
converted at the final time.
     As for your bond spread issue, if you use a convertible
bond then you can also alter the Black-Scholes process that
goes into the bond to include zero curves.

John


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