https://gdpark.blog/tags/binomial-tree/Recent content in Binomial-Tree on gdpark.blogHugoenSun, 29 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-14-valuing-bonds-with-embedded-options-part-1/Wed, 25 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-14-valuing-bonds-with-embedded-options-part-1/We finally put the Binomial Tree Framework to work pricing callable and putable bonds, walking through how cash flows shift at every node as rates move.https://gdpark.blog/posts/cfa-l2-16-option-adjusted-spread-oas/Fri, 27 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-16-option-adjusted-spread-oas/OAS is the constant spread you add to every node of a risk-free binomial tree until your callable bond price matches the market — and spoiler: it has nothing to do with options.https://gdpark.blog/posts/cfa-l2-18-capped-and-floored-floaters/Sun, 29 Dec 2024 00:00:00 +0000https://gdpark.blog/posts/cfa-l2-18-capped-and-floored-floaters/Capped floaters put a ceiling on the coupon (great for the issuer), floored floaters set a minimum (great for you), and you value both by tweaking a binomial tree and working backward.