Estimate option value on coupon bonds with precision. Review payoff, greeks, and scenario shifts instantly. Designed for rigorous bond option analysis and smarter decisions.
Dirty Price = Clean Price + Accrued Interest
PV(Coupons) = Σ [Coupon Cash Flow × e^(-r × t)]
Carry-Adjusted Spot = Dirty Price - PV(Coupons Before Expiry)
F = Carry-Adjusted Spot × e^(r × T)
d1 = [ln(F / K) + 0.5σ²T] / [σ√T]
d2 = d1 - σ√T
Call = e^(-rT) × [F N(d1) - K N(d2)]
Put = e^(-rT) × [K N(-d2) - F N(-d1)]
This implementation uses a forward bond framework suitable for European-style pricing. It adjusts today’s dirty bond price for coupons received before expiry, then applies lognormal forward valuation. Sensitivities are estimated numerically through small input bumps.
| Case | Type | Clean Price | Accrued | Strike | Coupon % | Freq | Expiry | Maturity | Risk-Free % | Vol % |
|---|---|---|---|---|---|---|---|---|---|---|
| Base Call | Call | 102.50 | 1.25 | 101.00 | 6.50 | 2 | 0.75 | 7.00 | 4.25 | 12.50 |
| Protective Put | Put | 98.40 | 0.80 | 100.00 | 5.25 | 2 | 0.50 | 5.50 | 3.80 | 10.00 |
| High Volatility Call | Call | 101.20 | 1.10 | 103.00 | 7.00 | 4 | 1.00 | 8.00 | 4.60 | 18.00 |
It prices European-style call and put options on coupon-paying bonds. The model starts with today’s dirty bond price, removes coupon carry before expiry, builds a forward price, and discounts the option premium back to today.
Coupons paid before option expiry belong to the bond holder during the life of the option. They reduce the effective spot amount carried into the forward price, so ignoring them can overstate call values or understate put values.
Enter clean price and accrued interest separately. The calculator combines them into today’s dirty price automatically. That keeps the pricing logic transparent and helps you check whether accrued income is affecting the option fairly.
Use an annualized estimate for forward bond price volatility or a proxy consistent with your trading desk method. Higher volatility usually increases both call and put values because the range of future outcomes becomes wider.
It is the forward bond price at expiry needed to offset the option premium after carrying that premium through time. Calls break even above strike plus financed premium, while puts break even below strike minus financed premium.
They are numerical estimates generated by bumping inputs slightly and repricing the option. That approach is practical, flexible, and useful for dashboards, though it may differ slightly from closed-form sensitivities under specialized market conventions.
Not directly. American exercise needs a different framework because early exercise may matter, especially around coupon dates or deep in-the-money conditions. This page is intended for European-style valuation with one exercise date.
The model assumes lognormal forward pricing, continuous discounting, and simplified coupon timing inferred from accrued interest. Real desks may include yield curves, credit spreads, exact settlement rules, day-count conventions, and calibrated volatility surfaces.
Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.