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.
SEE ALSO
The source code ConvertibleBonds.cpp, BermudanSwaption(1), Bonds(1),
CallableBonds(1), CDS(1), DiscreteHedging(1), EquityOption(1),
FittedBondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1),
SwapValuation(1), the QuantLib documentation and website at
http://quantlib.org.
AUTHORS
The QuantLib Group (see Authors.txt).
This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the
Debian GNU/Linux maintainer for QuantLib.