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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.


cbondbycrrPrice convertible bonds from CRR binomial tree
cbondbyeqpPrice convertible bonds from EQP binomial tree
cbondbysttPrice convertible bonds from standard trinomial tree
cbondbyittPrice convertible bonds from ITT trinomial tree
instcbondConstruct CBond instrument for convertible bond
instaddAdd types to instrument collection
instdispDisplay instruments
eqppriceInstrument prices from Equal Probabilities binomial tree
eqpsensInstrument prices and sensitivities from Equal Probabilities binomial tree
crrpriceInstrument prices from Cox-Ross-Rubinstein tree
crrsensInstrument prices and sensitivities from Cox-Ross-Rubinstein tree
sttpricePrice instruments using standard trinomial tree
sttsensInstrument sensitivities and prices using standard trinomial tree
ittpricePrice instruments using implied trinomial tree (ITT)
ittsensInstrument sensitivities and prices using implied trinomial tree (ITT)


Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.

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