VALUATION OF CALLABLE BONDS: THE SALOMON BROTHERS APROACH

Fernando Rubio Fernandez ()

Finance from University Library of Munich, Germany

Abstract: This paper explain, analyze and apply in an example the original paper developed by Kopprasch, Boyce, Koenigsberg, Tatevossian, and Yampol (1987) from The Salomon Brothers Inc. Bond Portfolio Analysis Group. Please, be aware. This paper is for educational issues only. There is a Spanish version in EconWPA.

Keywords: Salomon Brothers; bond portfolio; duration and convexity; effective duration; valuation; callable and non callable bond (search for similar items in EconPapers)
JEL-codes: G10 G15 G21 G32 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2005-07-20, Revised 2005-07-23
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
Note: Type of Document - pdf; pages: 34
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0507019

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