Standard Convertible Bond Pricing Model

The Standard Convertible Bond Pricing Model (SCB) is an off-the-shelf solution that employs a partial differential equation (PDE) methodology for valuing a full range of convertible bonds. SCB accurately captures dividends and provides much smoother and faster convergence than tree-based approaches. SCB provides comprehensive support for CBs with the standard range of features including:

• Fixed, proportional, or mixed fixed/proportional dividend models.
• Hazard rates calibrated from CDS spreads (or exogenous user input).
• Fixed, floating or mixed fixed/floating coupon models. Explicit coupon date schedules or built internally.
• Soft calls with time variable call price/protection price schedules, including coupon and premium make whole provisions.
• Contingent conversion (COCOs), conversion ratio resets.
• Discrete put schedules
• Funding spread, borrow rate, choice of day count basis and holiday calendar support, switches for inclusion of accrued interest upon call, conversion, put, or default.

Like all SciComp solutions the Standard Convertible Bond Pricing Model can be enhanced/modified to meet any particular modeling needs you may have and is available as C/C++ source code, Windows/Linux executable, or a ready-to-use Excel spreadsheet and add-in.

Output Data

PVs

• Clean, dirty prices, accrued interest
• Parity, premium
• Straight bond price

Sensitivities (computation controlled by switches):

• Delta, gamma, theta
• Change in implied vol (vega, volga, vanna)
• Parallel shift of yield curve
• Change in borrow rate
• Change in hazard rate
  

Implieds (computation controlled by switches):

• Implied vol given hazard rate and market price
• Implied hazard rate given vol and market price

Benefits

• Provides a complete, ready-to-use pricing and risk solution for convertible bonds.
• Delivers a fast entry into the convertible bond market.
• Benefits from a standard Microsoft Excel interface for ease-of-use.
• Other interfaces (Java, COM, .Net) and source code available for additional cost.
  

SciFinance - Complete solution for pricing convertible bonds

Need a robust in-house pricing development solution for convertible bonds? SciFinance automates coding and delivers source code (C/C++/CUDA) for custom convertible bond pricing and risk models. Read more