ConvertibleBonds - Example of using QuantLib to value convertible bonds
ConvertibleBonds
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 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.
The QuantLib Group (see
Contributors.txt).
This manual page was added by Dirk Eddelbuettel <
[email protected]>, the
Debian GNU/Linux maintainer for
QuantLib.