Pricing and trading kpi linked bonds
Posted: October 15th, 2021, 11:54 pm
Hi, i was hoping to get some views on pricing and risk management of kpi linked bonds. If only a small part of a portfolio, the step up/down could be ignored, but on a larger scale, this pricing difference could be large, especially if the step up/down is more than current standard 25bps. Any views would be appreciated.