Man page - convertiblebonds(1)

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Package:  quantlib-examples
apt-get install quantlib-examples

Manual

CONVERTIBLEBONDS

NAME
SYNOPSIS
DESCRIPTION
SEE ALSO
AUTHORS

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NAME

ConvertibleBonds - Example of using QuantLib to value convertible bonds

SYNOPSIS

ConvertibleBonds

DESCRIPTION

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 .

AUTHORS

The QuantLib Group (see Contributors.txt ).

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

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