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From: El Y. F. <fah...@gm...> - 2022-06-16 10:49:38
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I have another question for you, I am using a platform to compare results and sometimes it gives negative effective convexity which I can't replicate in Quantlib for and European callable fixed rate bond and I don't know why even if the other output matchs like OAS, YTM and eff duration. Le jeu. 16 juin 2022 à 12:44, El Yousfi Fahd <fah...@gm...> a écrit : > Hi, > i am working on a library for pricing callable bonds, > and I have a few questions: > 1 - for fixed rate callable bonds, is there a way to know when it is > called and when? because I am trying to approximate American calls with > daily European calls? > 2 - doesn quantlib support floating rate callable bonds? > > Thank you > |