1CONVERTIBLEBONDS(1)         General Commands Manual        CONVERTIBLEBONDS(1)
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NAME

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

9       ConvertibleBonds
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DESCRIPTION

12       ConvertibleBonds is an example of using QuantLib.
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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
16       options  types (with european and american exercise features) using the
17       Tsiveriotis-Fernandes method with different implied tree algorithms.
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19       The tree types are Jarrow-Rudd, Cox-Ross-Rubinstein, Additive equiprob‐
20       abilities, Trigeorgis, Tian and Leisen-Reimer.
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SEE ALSO

24       The  source  code  ConvertibleBonds.cpp, BermudanSwaption(1), Discrete‐
25       Hedging(1), EquityOption(1), FRA(1), Replication(1), Repo(1), SwapValu‐
26       ation(1),     the     QuantLib    documentation    and    website    at
27       http://quantlib.org.
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AUTHORS

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