Bond Valuation - Binomial Method
by theorangedog on Feb.13, 2008, under Skills
The Models page at foquant.com now features a binomial bond valuation tool. This is a crude first run at this, limiting the valuation to a bond with four periods to maturity.
I wanted to get this thrown together so I can expand upon the periods and the ability to value options on bonds. For now, though, the user can input their own rate tree, or choose a constant rate, and also dictate whether or not the bond has a coupon rate. The math that goes into the binomial tree is quite simple, so if a user needs to add additional periods it should not be exceptionally difficult.
Update 1: I have now also uploaded the same model but allowing for a callable bond with a user-defined call schedule.
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