Tier 1 Subordinated Bond

Tue, Jul 28, 2009 11:34 PM

Dear all

I?m facing the problem of valuing a tier 1 Bond. The Bond has an  
embedded option which allows no coupon payment if the issuer doesn?t  
pay dividends.

Does anybody have an idea how I could model this type of Bond? Please  
let me know if you have a model or a replicating method.

Many thanks in advance and best regards,
Roger

Thread (11 messages)

Michael xts() speed on data with date index Jul 25 Gabor Grothendieck xts() speed on data with date index Jul 25 Jeff Ryan xts() speed on data with date index Jul 25 Jeff Ryan xts() speed on data with date index Jul 25 Michael xts() speed on data with date index Jul 25 Gabor Grothendieck xts() speed on data with date index Jul 25 Michael xts() speed on data with date index Jul 25 Roger Bergande Tier 1 Subordinated Bond Jul 28 Ian Coe Speed issue issue with periodReturn Jul 29 Brian G. Peterson Speed issue issue with periodReturn Jul 29 Jeff Ryan Speed issue issue with periodReturn Jul 29