[Quantlib-users] Modelling callable bonds in Quantlib python.

[Sumit S. <su...@mo...>]

Hi,

  I am looking at the cook-book on how to model (price & risk) a Callable
bond

Questions on that pdf document are:-

1. Apart from the Callable & Puttable schedules, what happens if I dont
input a historical vol? Would the HW model use a more deterministic
approach?

2. If I were to put in a historical volatility of the short rate - can I
use a simple daily standard deviation of the OIS or Fed fund rate?

3. What risk measures can I get out of the code apart from Dv01?

Any paper on the underlying implementation would be useful.
Thanks,
Sumit

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