Bermudan Callable

Bermudan Callable refers to a fixed rate bond with an embedded Bermudan style call option. The option allows the bond issuer to call the bond at pre-specified dates at a predetermined price (usually par).

To price an Bermudan callable, users need to specify a lockout (i.e. time measured in years between the valuation date and the next time when the bond can be called), remaining maturity of the bond (measured in years), coupon (in percentage point) and interval (measured in years) between coupon payments.

The default yield curve used in the calculation is LEDS curve. Users can specify their own yield curves by providing rate inputs.

In addition to a standard set of risk analytics produced, users may request other risk analytics. Please contact us for more information.