CONVERTIBLEBONDS(1)

📦
version 1.43 · 2 versions
  • 1.43 · debian bookworm, debian trixie, fedora 43, fedora 44, ubuntu noble, ubuntu questing, ubuntu resolute, ubuntu stonking (latest)
  • 1.25 · ubuntu jammy
, in debian bookworm, debian trixie, fedora 43, fedora 44, ubuntu noble, ubuntu questing, ubuntu resolute, ubuntu stonking

✨ CONVERTIBLEBONDS(1) ✨

Okay bestie, this is the manual page for ConvertibleBonds 🦋, which is a QuantLib example program. QuantLib is the big open-source quant finance library, and this one is all about valuing convertible bonds 💅.

🎀 NAME

ConvertibleBonds — example of using QuantLib to value convertible bonds 💖

🌸 SYNOPSIS

ConvertibleBonds

Literally just type the name and go 🫶. There are no options or arguments for this one.

💜 DESCRIPTION

ConvertibleBonds is an example of using QuantLib ✨. Yes, it's a demo, but it's a slay one 🔥.

So here's the vibe: for a given set of option parameters, it computes the value of a convertible bond with an embedded put option 🧚. It does this for two different equity option types, one with European exercise and one with American exercise 👑. The math behind it is the Tsiveriotis-Fernandes method, and it uses different implied tree algorithms to get there 🌈.

The tree types it supports are:

  • Jarrow-Rudd
  • Cox-Ross-Rubinstein
  • Additive equiprobabilities
  • Trigeorgis
  • Tian
  • Leisen-Reimer

Main character energy for sure 😭.

🦋 SEE ALSO

The source code is ConvertibleBonds.cpp 💻, and you should also check out BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), MulticurveBootstrapping(1), Replication(1), and Repo(1) 📚. The QuantLib documentation and website live at https://www.quantlib.org, iykyk 🌈.

👑 AUTHORS

The QuantLib Group is the crew behind it, and you can find their names in Contributors.txt 🫶.

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib 🍓. Iconic work, honestly 💅.

Periodt, this page was from QuantLib 25 February 2006 🎀, bestie. Stay gorgeous and keep those bonds converting ✨💖

📦 where this page comes from