ConvertibleBonds1
Example of using quantlib to value convertible bonds
Usage
ConvertibleBonds
Overview
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.
Releases
10 releases since Debian 4.0 (Etch); the text changed 3 times.