This is the command ConvertibleBonds that can be run in the OnWorks free hosting provider using one of our multiple free online workstations such as Ubuntu Online, Fedora Online, Windows online emulator or MAC OS online emulator
PROGRAM:
NAME
ConvertibleBonds - Example of using QuantLib to value convertible bonds
SYNOPSIS
ConvertibleBonds
DESCRIPTION
ConvertibleBonds is an example of using QuantLib.
For a given set of option parameters, it computes the value of a convertible bond with an
embedded put option for two different equity options types (with european and american
exercise features) using the Tsiveriotis-Fernandes method with different implied tree
algorithms.
The tree types are Jarrow-Rudd, Cox-Ross-Rubinstein, Additive equiprobabilities,
Trigeorgis, Tian and Leisen-Reimer.
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