European Callable

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

To price an European callable, users need to specify a lockout (i.e. time from the valuation date at which point the bond issuer can call the bond, measured in years), 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.