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), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org.
The QuantLib Group (see Authors.txt).
This manual page was added by Dirk Eddelbuettel <[email protected]>, the Debian GNU/Linux maintainer for QuantLib.