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CONVERTIBLEBONDS

CONVERTIBLEBONDS

Section: User Commands (1) Updated: 25 February 2006 Local index Up
 

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), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org.

 

AUTHORS

The QuantLib Group (see Authors.txt).

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

 

Index

NAME
SYNOPSIS
DESCRIPTION
SEE ALSO
AUTHORS
This document was created by man2html, using the manual pages.
Time: 21:10:05 GMT, April 16, 2011