Thiruspace.com : SampleTopics : BondOptions Pricer

Step-Up Callable Calculator Using Mean Reversion

This Beta-Version Calculator does NOT include skew adjustment. Contact me to access the complete version, which features:

• Coupon Targeting - with Volatility or OAS as "Goal-seeking" parameters
• Skew Adjusted Vol with Custom overrides
• Full Risk-profile including all greek sensitivities.

Call Type Call Put Bond Amount MM Coupon Rate (Pct) % Step Coupons? Maturity (Yrs) 1 YR 2 YR 3 YR 4 YR 5 YR 6 YR 7 YR 8 YR 9 YR 10 YR Call Date (Yrs) 1 YR 2 YR 3 YR 4 YR 5 YR Volatility (Pct) % Reversion Rate(Pct) % OAS Spread (BPs) bps

Yearly Cpns 1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y

Show ForwardRates? Show BinomialTrees? Display VolMatrix?

Yld Curve 1Y 1.954 2Y 1.180 3Y 1.800 4Y 2.310 5Y 2.719 7Y 3.309 10Y 3.807 12Y 4.037 15Y 4.256 20Y 4.405 25Y 4.475 30Y 4.504

NOTES: Users WITHOUT login can input Bonds with Maturities upto 10yrs and CallPeriods upto 5yrs. Users WITH Login may click "Load YldCrv" button (to input own custom-data) and "Risk Analysis" button for RiskLadder.

User Manual Step1: Select parameters of desired Structure - Call/Put, Maturity and CallDt. For example, for a 5NC1 Putable Bond, select "Put" in CallType Box, "5 YR" in Maturity field and "1 YR" in Call field. Step2: If it is a Step-Coupon structure, click the CheckBox next to "Step Coupons" label. You may then input "Yearly Coupons" in the Next column. Step3: Click on "Refresh Cpn & Vol" button to update the parameters that you have now input. Note that, after you click here, Volatility is calculated for the Structure - You may Overwrite this number before clicking Calc button. Step4: Select what you Want to see in Results section - Whether you want to see Forward Rates Tree, Vol Matrix etc. Step5: Click on "Calculate Results" button.