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Puttable and Extendible Bonds
Salih N. NeftciMr.Andre Santos
其他書名
Developing Interest Rate Derivatives for Emerging Markets
出版International Monetary Fund, 2003-10-01
主題Business & Economics / Economics / MacroeconomicsBusiness & Economics / Economics / GeneralBusiness & Economics / International / Economics & Trade
ISBN14518743759781451874372
URLhttp://books.google.com.hk/books?id=wIQYEAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion and replicate the trading gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative markets in developing countries and eventually increase demand for long-term government bonds. Informal evidence from OECD countries suggests that these bonds were useful in the 1980s, when interest rates were volatile.