1CONVERTIBLEBONDS(1)         General Commands Manual        CONVERTIBLEBONDS(1)
2
3
4

NAME

6       ConvertibleBonds - Example of using QuantLib to value convertible bonds
7

SYNOPSIS

9       ConvertibleBonds
10

DESCRIPTION

12       ConvertibleBonds is an example of using QuantLib.
13
14       For  a  given set of option parameters, it computes the value of a con‐
15       vertible bond with an embedded put option for two different equity  op‐
16       tions  types  (with  european and american exercise features) using the
17       Tsiveriotis-Fernandes method with different implied tree algorithms.
18
19       The tree types are Jarrow-Rudd, Cox-Ross-Rubinstein, Additive equiprob‐
20       abilities, Trigeorgis, Tian and Leisen-Reimer.
21
22

SEE ALSO

24       The  source  code  ConvertibleBonds.cpp, BermudanSwaption(1), Bonds(1),
25       CallableBonds(1), CDS(1), DiscreteHedging(1), EquityOption(1),  Fitted‐
26       BondCurve(1),   FRA(1),   MarketModels(1),  MulticurveBootstrapping(1),
27       Replication(1), Repo(1), the  QuantLib  documentation  and  website  at
28       https://www.quantlib.org.
29
30

AUTHORS

32       The QuantLib Group (see Contributors.txt).
33
34       This  manual  page was added by Dirk Eddelbuettel <edd@debian.org>, the
35       Debian GNU/Linux maintainer for QuantLib.
36
37
38
39QuantLib                       25 February 2006            CONVERTIBLEBONDS(1)