table of contents
other versions
- buster 1.15-1
- testing 1.21-1
- unstable 1.21-1
- experimental 1.23-1
CONVERTIBLEBONDS(1) | General Commands Manual | CONVERTIBLEBONDS(1) |
NAME¶
ConvertibleBonds - Example of using QuantLib to value convertible bondsSYNOPSIS¶
ConvertibleBondsDESCRIPTION¶
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 http://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.
25 February 2006 | QuantLib |