Convertible bond with exercise into stock

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Description

Convertible bond with exercise into stock

Fields

conversion_ratio

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

dividend_ceiling

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

Methods

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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