Serving the Quantitative Finance Community
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- KenChakahwata
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buy sell backs on bonds with redemptions
Can someone please point me to a reference that contains details of pricing a buy/sellback on a bond with redemptions, for example, annuities, mortgage bonds... I am particulary interested in the treatment of the redemption proceeds in calculating the forward prices.many thanks/Ken
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- KenChakahwata
- Posts: 0
- Joined:
buy sell backs on bonds with redemptions
there has to be someone out there doing buy/sell back repos on redeemable bonds surely. grateful for any views/information/ references on pricing, especially in relation to how redemption proceeds are handled. thanks in advance.RegardsKen