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Suppose you are setting a coupon for a callable bond. What is the relationship between coupon level and volatility? Why would required coupon levels change

Suppose you are setting a coupon for a callable bond. What is the relationship between coupon level and volatility? Why would required coupon levels change if vol changes in the market. (You can answer in terms of price instead of coupon if you find it easier.)

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Bond Markets Analysis And Strategies

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