Convertible Bond Pricing Models
One size does not fit all. SciComp offers three types of solutions for customers seeking convertible bond pricing models:
The SciFinance® paradigm, unique in the industry, is to automatically generate efficient C-family derivatives pricing model source code from specifications written in an intuitive, finance-specific language. SciFinance also generates wrapper code to automate integration without imposing proprietary data models. Join our customers and slash your derivatives pricing model development time, eliminate run-time license fees, and own your models in perpetuity.
- SciComp Consulting provides ready-to-use, industry standard or custom developed pricing models for any asset class. Unlike vendors that rely upon pre-built libraries or toolkits, SciComp Consulting builds pricing models to exact customer specifications using state of the art numerical methods and customer selected interfaces.
- Ultimate Convertible Bond Pricing Model is a robust, ready-to-use convertible bond pricing engine for valuing a full range of convertible bonds with both standard and exotic bond features.
Industry standard convertible bond models include, but are not limited to:
- Local volatility models (LV)
- Stochastic volatility models (SV), including asset (SVJ) and variance jumps (SVJJ)
- Stochastic local volatility models (SLV)
- SABR, Levy models, including stochastic time change, VG, CGMY, CGMYSA, etc.
In addition: SciComp supports the implementation of any derivatives pricing model valued using systems of partial differential equations (PDEs), stochastic differential equations (SDEs), or analytic functions. Therefore users may define a nearly unlimited range of public-domain and proprietary models.
SciComp customers may select from two types of solutions for model calibration: SciCalibrator, a module of SciFinance that helps users develop their own calibration functions; and Ready-n-Customizable Calibrators a suite of robust, ready-to-use, standalone calibration functions. Any of the Ready-n-Customizable Calibrators can be tailored to meet customer requirements.
The partial, representative list below only hints at the infinite variety of contract features available with SciComp solutions. With SciFinance, customers can edit the provided specifications to adjust payoffs, add new path dependencies and define a limitless array of exotic contract features. SciFinance users can also write specifications from scratch to develop completely customized models. SciComp Consulting customers can request any convertible bond derivative model features they wish.
- 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
- Discrete put schedules.
- Separate treasury and benchmark curves
- Convertible bonds written on foreign stocks
- Hard call and discrete put schedules
- M of N soft calls with arbitrary number of days for the soft call trigger and soft call window including time variable call price/protection price schedules
- Contingent conversion (COCOs), conversion ratio resets, with pertinent parameters time variable according to user defined schedules
- Many types of make whole provisions including make whole conversion ratio adjustment matrices and change of control provisions
- 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
- Transaction costs
- Wide variety of grid, solvers, algorithm choices for fastest/most accurate possible code
- Sensitivity to any model parameter e.g., all standard Greeks, interest, hazard, credit spread curve sensitivities, and market implied quantities
- Custom user defined features
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SciComp solution benefits for convertible bond derivatives
- Helps achieve project development goals: Ideally suited for a broad range of convertible bond pricing model development projects.
- Infinitely customizable pricing models: No limitations when defining instrument features, terms and conditions of the contract, underlying model dynamics, numerical methods, market data and its format and model outputs.
- Complete model transparency: No “black box” components and users have full control through all stages of pricing model development.
- Not a library or toolkit: No imprecise or limited functionality. Users make all modeling decisions and may drill down as far as they wish or let SciFinance decide based upon its extensive knowledge base.
- Expertise: Our expert quant/developer staff has years of derivatives experience, developing pricing models for financial institutions around the globe.
- Industry standard or customized derivatives solutions: Comprehensive selection of industry standard derivatives pricing models and calibrators, any of which can be customized to meet your exact needs.
- Pricing models tailored to customer requirements: Customers may specify model features such as the underlying dynamics, the market data and formats, and the model output, or they may default such decisions to our expert quant/developer staff.
- Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.