Methods and systems for valuing embedded options

摘要

Methods and systems are disclosed for valuing a financial obligation having an embedded option. The method includes determining a value of the embedded option, converting the embedded option value to a target basis representing the yield difference between the financial obligation having the embedded option and a corresponding financial instrument without an embedded option, determining an actual basis between the financial obligation and the corresponding financial instrument; and determining a current value of the financial obligation based on the difference between the target basis and the actual basis.