CONVERTIBLEBONDS(1)

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), MulticurveBootstrapping(1), Replication(1), Repo(1), the QuantLib documentation and website at https://www.quantlib.org.

AUTHORS
The QuantLib Group (see Contributors.txt).

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