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ENH: Adding support for valuation of callable bonds #618

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dbojanin opened this issue Jan 12, 2025 · 1 comment
Open

ENH: Adding support for valuation of callable bonds #618

dbojanin opened this issue Jan 12, 2025 · 1 comment
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enhancement New feature or request securities

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@dbojanin
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Hi @attack68,

I looked over the documentation and didn't see any support for passing in call dates/call prices for fixed income bonds with a call feature. Can we add support for this feature?

@attack68
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Hi, this is on the agenda, but it wont be imminent. Need to figure out a consistent way of calibrating vol surfaces and vol cubes for rates markets before extending these to price callable features.

It is probably quicker for users to implement their own ad hoc callable extensions with their own pricing model.

I.e. Callable bond price = Regular Bond price (from rateslib) - Callable option value (user determined option value).

@attack68 attack68 added enhancement New feature or request securities labels Jan 13, 2025
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