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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.


cbondbycrr Price convertible bonds from CRR binomial tree
cbondbyeqp Price convertible bonds from EQP binomial tree
cbondbystt Price convertible bonds from standard trinomial tree
cbondbyitt Price convertible bonds from ITT trinomial 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
eqpsens Instrument prices and sensitivities from Equal Probabilities binomial tree
crrprice Instrument prices from Cox-Ross-Rubinstein tree
crrsens Instrument prices and sensitivities from Cox-Ross-Rubinstein tree
sttprice Price instruments using standard trinomial tree
sttsens Instrument sensitivities and prices using standard trinomial tree
ittprice Price instruments using implied trinomial tree (ITT)
ittsens Instrument sensitivities and prices using implied trinomial tree (ITT)


Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.

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