SciComp offers three solutions for pricing convertible bonds, SciFinance®, Custom Fit Pricing Models and the Standard Convertible Bond Pricing Model.
SciFinance is an automated coding technology for rapidly developing derivatives pricing and risk models. Simply select from one of hundreds of model specifications and modify as appropriate to capture the unique features of the convertible bond or to implement a preferred pricing approach. Convertible bond pricing model specifications are comprised of arbitrary partial differential equations (PDEs), numerical algorithms and keywords, and may include the calling of external functions. SciFinance does the rest by automating the programming task via the SciPDE module to produce fully documented C/C++/CUDA pricing model source code or Excel spreadsheets and add-ins.
SciComp Custom Fit Pricing Models meet the needs of users looking for a customized convertible bond pricing model that has been tailored to their particular modeling needs and requirements. Custom Fit Pricing Models are state-of-the-art convertible bond pricing and risk models comparable to those found on the desks of traders and risk managers within Tier-1 financial organizations. Like SciFinance, Custom Fit Pricing Models support the modeling of any convertible bond and are available as a C/C++ pricing executable, C/C++ pricing model source code or a ready-to-use Excel spreadsheet and add-in.
The Standard
Convertible Bond Pricing Model is an off-the-shelf convertible
bond pricing model that supports the pricing and risk sensitivity of convertible
bonds with many standard features. 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 a C/C++
pricing executable, C/C++ pricing model source code or a ready-to-use Excel
spreadsheet and add-in.
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SciComp solutions supports the modeling of any convertible bond that can be expressed as a series of PDEs, so no list can be complete (partial list below).
SciCalibrator is an automated coding technology for translating a pricing model calibration specification into the corresponding C/C++ source code for the calibration routine or a ready-to-use Excel spreadsheet and add-in. SciCalibrator comes with over a dozen analytical pricers for valuing the underlying calibration instruments or, if you prefer, you may use your own pricer. If no analytical pricer is available, you can generate a SciFinance PDE pricing model for use in the calibration routine.
SciFinance® automates pricing and risk model development
SciPDE™ and SciMC™ are the core SciFinance modules
SciGPU™ achieves blazing fast performance with CUDA and OpenMP
SciCalibrator™ provides pricing model calibration
SciIntegrator™ eases integration
Standalone customizable pricing and calibration tools.
Derivatives Pricing Models
A resource site with examples, documentation and more...
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