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| CONVERTIBLEBONDS(1) | FreeBSD General Commands Manual | CONVERTIBLEBONDS(1) |
NAME
ConvertibleBonds - Example of using QuantLib to value convertible bondsSYNOPSIS
ConvertibleBondsDESCRIPTION
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.
SEE ALSO
The source code ConvertibleBonds.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), MulticurveBootstrapping(1), Replication(1), Repo(1), the QuantLib documentation and website at http://quantlib.org.AUTHORS
The QuantLib Group (see Contributors.txt).This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.
| 25 February 2006 | QuantLib |
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