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ConvertibleBonds - Man Page

Example of using QuantLib to value convertible bonds




ConvertibleBonds is an example of using QuantLib.

For a given set of option parameters, it computes the value of a convertible bond with an embedded put option for two different equity options types (with european and american exercise features) using the Tsiveriotis-Fernandes method with different implied tree algorithms.

The tree types are Jarrow-Rudd, Cox-Ross-Rubinstein, Additive equiprobabilities, Trigeorgis, Tian and Leisen-Reimer.

See Also

The source code ConvertibleBonds.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), MulticurveBootstrapping(1), Replication(1), Repo(1), the QuantLib documentation and website at https://www.quantlib.org.


The QuantLib Group (see Contributors.txt).

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.

Referenced By

BasketLosses(1), BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), CVAIRS(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), Gaussian1dModels(1), GlobalOptimizer(1), LatentModel(1), MarketModels(1), MulticurveBootstrapping(1), MultidimIntegral(1), Replication(1), Repo(1).

25 February 2006 QuantLib