Test Drive the Universal Convertible Bond Pricing Model

Universal Convertible Bond Pricing Model

SciComp’s Universal Convertible Bond Pricing Model is a fast, accurate, and flexible PDE-based solution for computing fair value, sensitivities, and implied quantities for convertibles.

The Universal Convertible Bond Pricing Model has been designed to facilitate all functionality required for pricing, risk management and valuation (P&L and P&L attribution) activities by traders, risk managers, portfolio managers, product controllers and end-of-day trade support.

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Comprehensive support for convertible bonds with a full range of features including:

  • 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 periods.
  • 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.

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


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