Documentation |
Price convertible bond
[CbMatrix, UndMatrix, DebtMatrix, EqtyMatrix] =
cbprice(RiskFreeRate,
StaticSpread, Sigma, Price, ConvRatio,
NumSteps, IssueDate,
Settle, Maturity, CouponRate)
[CbMatrix, UndMatrix, DebtMatrix, EqtyMatrix] =
cbprice(RiskFreeRate,
StaticSpread, Sigma, Price, ConvRatio,
NumSteps, IssueDate,
Settle, Maturity, CouponRate,
Name,Value)
[CbMatrix, UndMatrix, DebtMatrix, EqtyMatrix] =
cbprice(RiskFreeRate,
StaticSpread, Sigma, Price, ConvRatio,
NumSteps, IssueDate,
Settle, Maturity, CouponRate) price a convertible bond
with a one-factor lattice method.
[CbMatrix, UndMatrix, DebtMatrix, EqtyMatrix] =
cbprice(RiskFreeRate,
StaticSpread, Sigma, Price, ConvRatio,
NumSteps, IssueDate,
Settle, Maturity, CouponRate,
Name,Value) price
a convertible bond with a one-factor lattice method with additional
options specified by one or more Name,Value pair
arguments.
Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside single quotes (' '). You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.
'Basis' |
Day-count basis of the bond. A vector of integers.
For more information, see basis. Default: 0 (actual/actual) |
'CallType' |
Scalar value for the call type. Values are 0 for a call on cash price, or 1 for a call on clean price. Default: 0 (cash price) |
'CallInfo' |
Two-column matrix containing the call information. The first column is the call dates and the second column is the call prices for every $100 face of the bond. The call, in the amount of call prices, is activated after the corresponding call date. Default: No call feature |
'ConvInfo' |
Two-column matrix containing convertible information. The first column is the convertible dates and the second column is whether the issue is convertible or not. Default: Bond is always convertible |
'DividendInfo' |
Two-column matrix of dividend information. The first column is the ex-dividend date and the second column is the corresponding amount. Enter any amount known at any time; only the amounts that are within the lifespan of the option are used. If the DividendType is 2, DividendInfo is a 1-by-2 matrix where the first entry is the Settle date and the second entry is the continuous dividend yield. Default: No dividend |
'DividendType' |
Scalar value for dividend type. Values are:
Default: 0 (Dollar dividend) |
'EndMonthRule' |
NINST-by-1 vector for end-of-month rule. Values are 1 (on, in effect) and 0 (off, not in effect). Default: 1 (on, in effect) |
'Period' |
Scalar value for number of coupon payments. Values are:
Default: 2 (Semiannual) |
'PutInfo' |
Two-column matrix containing put information. The first column is the put dates and the second column is the put prices for every $100 face of the bond. The put, in the amount of put prices, is activated after the corresponding put date. Default: No put feature |
'PutType' |
Scalar value for put type. Value are 0 for a put on cash price or 1 for a put on clean price. Default: 0 (put on cash price) |
'TreeType' |
Scalar value for tree type. Values are 0 for binomial lattice or 1 for trinomial lattice. Default: 0 (binomial lattice) |
Andersen, L. and D. Buffum, "Calibration and implementation of convertible bonds models," Working paper, Banc of America Securities, 2003.
Ayache, E., P.A. Forsyth, and K.R. Vetzal, "Valuation of Convertible Bonds with Credit Risk," Journal of Derivatives, 11 (Fall 2003), 9-29.
Tsiveriotis, K. and C. Fernandes, "Valuing Convertible Bonds with Credit Risk," Journal of Fixed Income 8, 95-102, 1998
Zabolotnyuk, Yuriy, Jones, Robert A. and Veld, Chris H., "An Empirical Comparison of Convertible Bond Valuation Models," (October 15, 2009). Available at SSRN: http://ssrn.com/abstract=994805.