Convertible bond with exercise into stock


Convertible bond with exercise into stock



The number of shares, per bond, that result from exercise


The level of dividend protection (if any) specified in terms and conditions


exercise_decision(v, S, t, discount_factor_fctn = discount_factor_fcn, ...)

Find indexes where hold value v will be inferior to conversion value at each stock price level in S, adjusted to include all past coupons

optionality_fcn(v, S, t, discount_factor_fctn = discount_factor_fcn, ...)

Return the greater of hold value v or exercise value at each stock price level in S. If the given date is beyond maturity, return value at maturity.

terminal_values(v, ...)

Return a terminal value. defaults to simply calling optionality_fcn.

update_cashflows(small_t, big_t, discount_factor_fctn = discount_factor_fcn, include_notional = TRUE, ...)

Update last_computed_cash and return cashflow information for the given time period, valued at big_t

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