Straight Perpetual Implied Volatility Calculator

As previously announced, the January edition of PrefLetter discussed the pricing of embedded options:

The January edition contains an appendix examining the calculation of Implied Volatility for PerpetualDiscount preferred shares and a discussion of the model and its applicability for portfolio management.

A calculator was developed to accompany this article and is available for download, with the permanent link under “On-Line Resources” in the right hand panel.

As always, I recognize that improvements are possible. If anybody sends me an improvement which I incorporate into the version of the spreadsheet published here, rest assured that this contribution will be fully credited.

Update, 2010-3-22: More issues now incorporated on spreadsheet.

This entry was posted on Tuesday, February 16th, 2010 at 6:48 pm and is filed under PrefLetter, Publications. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

9 Responses to “Straight Perpetual Implied Volatility Calculator”

  1. PrefBlog » Blog Archive » New Issue: IAG 5.90% Straight says:
    February 17, 2010 at 8:05 pm

    […] – I don’t think it will see much buying from those who understand the principles of the Straight Perpetual Implied Volatility Calculator introduced in the January 2010 […]

  2. PrefBlog » Blog Archive » New Issue: GWO 5.80% Straight says:
    February 23, 2010 at 8:03 pm

    […] only is the yield on the new issue way below comparables, but that there is no allowance at all for Implied Volatility of the embedded short call. There are two classes of investor who will buy this issue: those desperate to invest a large sum […]

  3. PrefBlog » Blog Archive » MAPF Performance: February 2010 says:
    March 3, 2010 at 5:17 pm

    […] factor that hurt the fund’s performance in February was a decline in the implied volatility of PerpetualDiscounts. This had a large effect on performance of the different issues (though not as large as the Swoon […]

  4. MAPF Performance: August 2010 « PrefBlog says:
    September 6, 2010 at 12:18 pm

    […] analysis of the data using the Straight Perpetual Implied Volatility Calculator produces the following […]

  5. MAPF Portfolio Composition: October 2010 « PrefBlog says:
    November 3, 2010 at 6:44 pm

    […] last month’s performance report, analysis of the data using the Straight Perpetual Implied Volatility Calculator produces the following […]

  6. MAPF Portfolio Composition: November 2010 « PrefBlog says:
    December 4, 2010 at 9:02 pm

    […] of the data using the Straight Perpetual Implied Volatility Calculator produces the following […]

  7. MAPF Portfolio Composition: December 2010 « PrefBlog says:
    January 3, 2011 at 2:45 pm

    […] of the data using the Straight Perpetual Implied Volatility Calculator produces the following […]

  8. January 13, 2011 « PrefBlog says:
    January 13, 2011 at 9:11 pm

    […] of the data using the Straight Perpetual Implied Volatility Calculator produces the following […]

  9. MAPF Performance: April 2011 « PrefBlog says:
    May 1, 2011 at 7:32 pm

    […] not presently share my opinion! This is best illustrated by calculating Implied Volatility with the Straight Perpetual Implied Volatility Calculator. Click for […]

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