/valuation-callables-HullWhite

Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.

Primary LanguageJupyter Notebook

valuation-callables-HullWhite

Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.

  1. CallableBond.xlsx Citi callable bond data and pricing in NumeriX
  2. CallableBond_HullWhite.ipynb pricing of the same bond in QuantLib employing a Binomial Tree
  3. Interest Rate Models.pdf elementary introduction to binomial tree pricing for callables
  4. lognormal_normal_volatility.pdf papaer by G. Dimitroff, C. Fries, M. Lichtner and N. Rodi on the relationship between Normal (Bachelier) and LogNormal volatility used in the Notebook as a good approximation
  5. treecallablebondengine.hpp/cpp QuantLib code to price the fixed callable off the tree
  6. http://www.arkus-fs.com/uploads/documents/files/callable-bond-pricing.pdf useful for general characteristic of callables (price compression) as well as another tutorial on pricing off a binomial tree
  7. discretizedcallablefixedratebond.hpp/cpp QuantLib code to price the fixed callable off the tree