ConvertibleBond-class: Convertible bond with exercise into stock
In brianboonstra/ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes
Description
Convertible bond with exercise into stock
Fields
conversion_ratioThe number of shares, per bond, that result from exercise
dividend_ceilingThe 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
brianboonstra/ragtop documentation built on March 7, 2020, 2:23 p.m.
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Description
Convertible bond with exercise into stock
Fields
conversion_ratioThe number of shares, per bond, that result from exercise
dividend_ceilingThe 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
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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