Documentation

Convertible Bonds

Convertible bond pricing with fixed or variable coupon rates

A convertible bond is a type of bond that the holder can convert into a specified number of shares of common stock in the issuing company. It is a hybrid security with debt- and equity-like features. This toolbox provides functionality to price, compute sensitivity, and perform hedging analysis for convertible bonds using lattice models.

Functions

cbprice Price convertible bond
cbondbycrr Price convertible bonds from CRR binomial tree
cbondbyeqp Price convertible bonds from EQP binomial tree
instcbond Construct CBond instrument for convertible bond
instadd Add types to instrument collection
instdisp Display instruments
eqpprice Instrument prices from Equal Probabilities binomial tree
crrsens Instrument prices and sensitivities from Cox-Ross-Rubinstein tree
eqpsens Instrument prices and sensitivities from Equal Probabilities binomial tree
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