tailieunhanh - Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 6

Vâng, chúng ta hãy nói rằng đó là sáng thứ Hai và ngày thứ Sáu một phần rất quan trọng của tin tức về nền kinh tế dự kiến sẽ được phát hành - có thể cho Hoa Kỳ là việc làm hàng tháng báo cáo với khả năng di chuyển thị trường trong một lớn một cách hướng hoặc những hướng khác. | Financial Engineering 131 The callable shown in our diagram has a final maturity date two years from now and is callable one year from now. To say that it is callable one year from now is to say that for its first year it may not be called at all it is protected from being called and as such investors may be reasonably assured that they will receive promised cash flows on a full and timely basis. But once we cross into year 2 and the debenture is subject to being called by the issuer who is long the call option there is uncertainty as to whether all the promised cash flows will be paid. This uncertainty stems not from any credit risk particularly since mortgage securities tend to be collateralized but rather from market risk namely will interest rates decline such that the call in the callable is exercised If the call is exercised the investors will receive par plus any accrued interest that is owed and no other cash flows will be paid. Note that terms and conditions for how a call decision is made can vary from security to security. Some callables are discrete meaning that the issue could be called only if at all at coupon payment dates for continuous callables the issue could be called if at all at any time once it has lost its callability protection. Parenthetically a two-year final maturity callable eligible to be called after one year is called a two-noncall-one. A 10-year final maturity callable that is eligible to be called after three years is called a 10-noncall-three and so forth. Further the period of time when a callable may not be called is referred to as the lockout period. Figure distinguishes between the cash flows during and after the period of call protection with solid and dashed lines respectively. At the time a callable comes to market there is truly a 50 50 chance of its being called. That is because it will come to market at today s prevailing yield level for a bond with an embedded call and from a purely theoretical view there is an .