Pricing Convertible Bonds
One size does not fit all. SciComp offers three types of solutions for pricing convertible bonds:
- The ultimate flexible coding solution, SciFinance® is a C/C++/CUDA source code generator for building derivatives pricing models in-house. Providing you full control over modeling decisions, SciFinance significantly reduces development time and costs.
- Our expert quantitative development staff at SciComp Consulting can
develop a wide variety of standard
or custom derivatives pricing models,
calibration routines and risk management tools that are tailored to your
- Ultimate Convertible Bond Pricing Model is a ready-to-use
pricing engine that supports a broad range on convertible bond features.
Convertible bond features
- Local volatility models (LV)
- Stochastic volatility models (SV), including asset (SVJ) and variance jumps (SVJJ)
- Local stochastic volatility models (LSV)
- SABR, Levy models, including stochastic time change, VG, CGMY, CGMYSA, etc.
- Custom user defined models
Calibrators are available for convertible bond pricing models.
- 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.
- M of N soft calls with the ability to set the number of days for the soft call trigger and soft call window .
- 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.
- Custom user defined features.
*partial, representative list
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SciComp solution benefits for convertible bonds
- No-hand coding, no-black boxes: Generates source code from concise, high-level model specifications. Not an inflexible set of library routines that offers imprecise or limited functionality.
- Comprehensive: Cross-asset support with hundreds of model specifications, easily modified through keywords.
- Latest techniques without the learning curve: Automatically generates GPU-enabled pricing model source code. No parallel computing or CUDA programming expertise is required.
- Customer-driven: Developed with the input of practitioners at top-tier financial institutions worldwide.
- Expertise: Our expert quant/developer staff has years of derivatives experience, developing pricing models for financial institutions around the globe.
- Ready-to-use or customized derivatives solutions: Comprehensive selection of ready-to-use pricing models and calibrators, any of which can be customized to meet your exact needs
- Comprehensive derivatives model development:
- Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.