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I am trying to use quantlib to price a bond with both callable and puttable options. I have seen examples for pricing callable bonds using ql.CallabilitySchedule(). I would like to ask how to include dates and strike prices for both put and call options in ql.CallabilitySchedule().

Thanks.

Paul
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Vincent Lee
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1 Answers1

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As a disclaimer, I haven't tried this myself but if you look at example, where I am reposting below the relevant part:

putCallSchedule.append(
    ql.Callability(callability_price, ql.Callability.Call, ql.Date(15,6,2021))
)

The 2nd argument to the ql.Callability is the Type which can be either Call or Put. Therefore, try adding your Put days using ql.Callability.Put instead of ql.Callability.Call.

Paul
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