ConvertibleBonds(1) Example of using QuantLib to value convertible bonds




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.


The QuantLib Group (see Authors.txt).

This manual page was added by Dirk Eddelbuettel <[email protected]>, the Debian GNU/Linux maintainer for QuantLib.