Pricing Convertible Bonds: Universal Convertible Bond Pricing Model

The Universal Convertible Bond Pricing Model is a ready-to-use solution for valuing a broad range of convertible bonds. Employing a flexible modeling framework and a robust implementation of a partial differential equation (PDE) methodology, users can easily specify and accurately value all the relevant features of modern convertible bonds.

SciComp’s Universal Convertible Bond Pricing Model may be used for valuing both individual convertible bonds as well as portfolios. Simply specify the convertible bond features and input the appropriate modeling data. The CB Pricer does the rest, generating price and sensitivity measures, accurately capturing dividends and providing much smoother and faster convergence than tree-based approaches.

The Universal Convertible Bond Pricing Model provides comprehensive support for a broad range of convertible bond features including:

pricing convertible bonds

  • Fixed, proportional, or mixed fixed/proportional dividend models. Explicit dividend schedules or specified frequency. Dividend growth. Multiple choices for dividend protection.
  • Fixed, floating or mixed fixed/floating coupon models. Explicit coupon schedules or specified frequency with initial fixed coupon period. Specified coupon growth rates.
  • Contingent coupons based upon underlying stock or convertible bond prices
  • Conversion rate resets contingent on stock price, hypers.
  • Separate yield curve (discount) and benchmark curves.
  • Hazard rate and credit spread models. Hazard rate calibrated from CDS spreads or specified. Distinct CDS and bond recovery, stock price reset upon default.
  • Convertibles written on foreign stocks.
  • Hard call and discrete put schedules. Call notice period.
  • Soft calls based on average stock price or days exceeding protection price. Call price/protection price schedules.
  • Contingent conversion (CoCos) including: forced or voluntary conversions; instantaneous, average, or days exceeding CoCo trigger.
  • Many types of make whole provisions including coupon make whole, premium make whole, take out table conversion ratio adjustment matrices and change of control provisions.
  • Funding spread, borrow rate spread, choice of day count basis and holiday calendar support, switches for inclusion of accrued interest upon call, conversion, put, or default.
  • Outputs include theoretical price, all standard Greeks, interest, hazard, credit spread curve sensitivities, and many market implied quantities.

Test drive the Universal Convertible Bond Pricing Model

Like all SciComp solutions, the Universal Convertible Bond Pricing Model can easily be enhanced/modified to meet a customer’s particular needs and requirements. The CB Pricer is available as C/C++ source code, Windows/Linux executable or a ready-to-use Excel spreadsheet and add-ins.

Convertible bond pricing model


  • 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 available (Java, COM, .Net, Python)

Need more information on the Universal Convertible Bond Pricing Model? Contact us

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