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The Convertible Bond and Hybrid Instrument Software


 

Technology

Our approach is based on a PDE (Partial Differential Equation) algorithm which is extremely accurate and very quick. The numerical implementation uses a "smart grid" technology which places more node points in areas of dicontinuity and less node points in smooth regions. The algorithm has many advanced features and takes into account that when stokc prices fall, spreads will increase.

Availability

The program is available on many different platforms (e.g. PC Windows, Excel, Unix Subroutine and more).

Partial List of Features
  • Convertible bonds and preferred shares
  • CoCos (Contingent Convertible Bonds)
  • Makewhole structures
  • Convertibles with embedded warrants
  • Step up or step down coupons
  • Convertible into shares and cash
  • Floating rate convertibles
  • Dual currency convertibles
  • All kinds of mandatory convertible structures (Percs, DECs, ELKs, Reverse Convertibles and more)
  • Warrants (Call and Put options)
  • Changing dividends which could be either cash dividends or a dividend yield
  • Correct accounting for dividends
  • Term structure of volatility and volatility skew
  • Takes into account very low stock prices and the increased risk of default

Data Sheet

Click here to read a data sheet of ConvB