ConvertibleBond
Description
Create and price a ConvertibleBond
instrument object for
one of more Convertible Bond instruments using this workflow:
Use
fininstrument
to create aConvertibleBond
instrument object for one of more Convertible Bond instruments.Use
finmodel
to specify aBlackScholes
model for theConvertibleBond
instrument object.Use
finpricer
to specify aFiniteDifference
pricing method for one or moreConvertibleBond
instruments.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods for a
ConvertibleBond
instrument, see Choose Instruments, Models, and Pricers.
Creation
Syntax
Description
creates a ConvertibleBondObj
= fininstrument(InstrumentType
,'CouponRate
',couponrate_value,'Maturity
',maturity_date,'ConversionRatio
',conversion_ratio_value)ConvertibleBond
object for one of more
Convertible Bond instruments by specifying
InstrumentType
and sets the properties for the
required name-value pair arguments CouponRate
,
Maturity
, and
ConversionRatio
.
sets optional properties using
name-value pair arguments in addition to the required arguments in the
previous syntax. For example, ConvertibleBondObj
= fininstrument(___,Name,Value
)ConvertibleBondObj =
fininstrument("ConvertibleBond",'CouponRate',CouponRate,
'Maturity',Maturity,'ConversionRatio',ConvRatio,'Period',Period,'Spread',Spread,'CallSchedule',CallSchedule,'CallExerciseStyle',"american")
creates an ConvertibleBond
instrument with an American
exercise and a call schedule. You can specify multiple name-value pair
arguments.
Input Arguments
InstrumentType
— Instrument type
string with value "ConvertibleBond"
| string array with values of
"ConvertibleBond"
| character vector with value
'ConvertibleBond'
| cell array of character vectors with values of
'ConvertibleBond'
Instrument type, specified as a string with the value of
"ConvertibleBond"
, a character vector with the
value of 'ConvertibleBond'
, an
NINST
-by-1
string array with
values of "ConvertibleBond"
, or an
NINST
-by-1
cell array of
character vectors with values of 'ConvertibleBond'
.
Data Types: char
| cell
| string
Specify required
and optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where
Name
is the argument name and Value
is
the corresponding value. Name-value arguments must appear after other arguments,
but the order of the pairs does not matter.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: ConvertibleBondObj =
fininstrument("ConvertibleBond",'CouponRate',CouponRate,
'Maturity',Maturity,'ConversionRatio',ConvRatio,'Period',Period,'Spread',Spread,'CallSchedule',CallSchedule,'CallExerciseStyle',"american")
ConvertibleBond
Name-Value Pair
ArgumentsCouponRate
— Coupon rate for ConvertibleBond
object
scalar decimal | decimal vector | timetable
Coupon rate for the ConvertibleBond
object,
specified as the comma-separated pair consisting of
'CouponRate'
as a scalar decimal or an
NINST
-by-1
vector of
decimals for an annual rate or a timetable where the first column is
dates and the second column is associated rates. The date indicates
the last day that the coupon rate is valid.
Note
If you are creating one or more
ConvertibleBond
instruments and use a
timetable, the timetable specification applies to all of the
ConvertibleBond
instruments.
CouponRate
does not accept an
NINST
-by-1
cell array
of timetables as input.
Data Types: double
| timetable
Maturity
— Maturity date for ConvertibleBond
object
datetime array | string array | date character vector
Maturity date for the ConvertibleBond
object,
specified as the comma-separated pair consisting of
'Maturity'
and a scalar or an
NINST
-by-1
vector using a
datetime array, string array, or date character vectors.
To support existing code, ConvertibleBond
also
accepts serial date numbers as inputs, but they are not recommended.
If you use date character vectors or strings, the format must be
recognizable by datetime
because
the Maturity
property is stored as a
datetime.
ConversionRatio
— Number of shares convertible from one bond
scalar numeric | numeric vector | timetable
Number of shares convertible from one bond, specified as the
comma-separated pair consisting of
'ConversionRatio'
and a scalar numeric or an
NINST
-by-1
numeric vector
or a timetable where the first column is dates and the second column
is associated ratios. The date in the first column indicates the
last day that the conversion ratio is valid.
Note
If you are creating one or more
ConvertibleBond
instruments and use a
timetable, the timetable specification applies to all of the
ConvertibleBond
instruments.
ConversionRatio
does not accept an
NINST
-by-1
cell array
of timetables as input.
Data Types: double
| timetable
ConvertibleBond
Name-Value Pair
ArgumentsSpread
— Number of basis points over the reference rate
0
(default) | scalar numeric | numeric vector
Number of basis points over the reference rate, specified as the
comma-separated pair consisting of 'Spread'
and a
scalar numeric or an
NINST
-by-1
numeric vector.
Data Types: double
CallSchedule
— Call schedule
[ ]
(default) | timetable
Call schedule, specified as the comma-separated pair consisting of
'CallSchedule'
and a timetable of call dates
and strikes.
If you use a date character vector or date string for the dates in
this timetable, the format must be recognizable by datetime
because
the CallSchedule
property is stored as a datetime.
Note
For the ConvertibleBond
instrument, you
can use a CallSchedule
with a
CallExerciseStyle
and a
PutSchedule
with a
PutExerciseStyle
simultaneously.
Data Types: timetable
CallExerciseStyle
— Call option exercise style
"European"
(default) | string with value "European"
,
"American"
, or
"Bermudan"
| string array with values of "European"
,
"American"
, or
"Bermudan"
| character vector with value 'European'
,
'American'
, or
'Bermudan'
| cell array of character vectors with values of
'European'
, 'American'
, or
'Bermudan'
Call option exercise style, specified as the comma-separated pair
consisting of 'CallExerciseStyle'
and a scalar
string or character vector or an
NINST
-by-1
cell array of
character vectors or string array.
Data Types: string
| char
| cell
PutSchedule
— Put schedule
[ ]
(default) | timetable
Put schedule, specified as the comma-separated pair consisting of
'PutSchedule'
and a timetable of call dates
and strikes.
If you use a date character vector or date string for dates in
this timetable, the format must be recognizable by datetime
because
the PutSchedule
property is stored as a datetime.
Note
For he ConvertibleBond
instrument, you
can use a CallSchedule
with a
CallExerciseStyle
and a
PutSchedule
with a
PutExerciseStyle
simultaneously.
Data Types: timetable
PutExerciseStyle
— Put option exercise style
"European"
(default) | string with value "European"
,
"American"
, or
"Bermudan"
| string array with values of "European"
,
"American"
, or
"Bermudan"
| character vector with value 'European'
,
'American'
, or
'Bermudan'
| cell array of character vectors with values of
'European'
, 'American'
, or
'Bermudan'
Put option exercise style, specified as the comma-separated pair
consisting of 'PutExerciseStyle'
and a scalar
string or character vector or an
NINST
-by-1
cell array of
character vectors or string array.
Data Types: string
| cell
| char
Period
— Frequency of payments per year
2
(default) | integer | vector of integers
Frequency of payments per year, specified as the comma-separated
pair consisting of 'Period'
and a scalar integer
or an NINST
-by-1
vector of
integers. Possible values for Period
are
1
, 2
,
3
, 4
, 6
,
and 12
.
Data Types: double
Basis
— Day count basis
0
(actual/actual) (default) | integer from 0
to
13
| vector of integers from 0
to
13
Day count basis, specified as the comma-separated pair consisting
of 'Basis'
and scalar integer or an
NINST
-by-1
vector of
integers using the following values:
0 — actual/actual
1 — 30/360 (SIA)
2 — actual/360
3 — actual/365
4 — 30/360 (PSA)
5 — 30/360 (ISDA)
6 — 30/360 (European)
7 — actual/365 (Japanese)
8 — actual/actual (ICMA)
9 — actual/360 (ICMA)
10 — actual/365 (ICMA)
11 — 30/360E (ICMA)
12 — actual/365 (ISDA)
13 — BUS/252
For more information, see Basis.
Data Types: double
Principal
— Notional principal amount or principal value schedule
100
(default) | scalar numeric | numeric vector | timetable
Notional principal amount or principal value schedule, specified
as the comma-separated pair consisting of
'Principal'
and a scalar numeric or
NINST
-by-1
numeric vector
or a timetable.
Principal
accepts a timetable
, where the
first column is dates and the second column is the associated
notional principal value. The date indicates the last day that the
principal value is valid.
Data Types: double
| timetable
DaycountAdjustedCashFlow
— Flag indicating whether cash flow adjusts for day count convention
false
(default) | value of true
or
false
Flag indicating whether cash flow adjusts for the day count
convention, specified as the comma-separated pair consisting of
'DaycountAdjustedCashFlow'
and a scalar
logical or an NINST
-by-1
vector of logicals with values of true
or
false
.
Data Types: logical
BusinessDayConvention
— Business day conventions
"actual"
(default) | string | string array | character vector | cell array of character vectors
Business day conventions, specified as the comma-separated pair
consisting of 'BusinessDayConvention'
and a
scalar string or character vector or an
NINST
-by-1
cell array of
character vectors or string array. The selection for business day
convention determines how nonbusiness days are treated. Nonbusiness
days are defined as weekends plus any other date that businesses are
not open (for example, statutory holidays). Possible values are:
"actual"
— Nonbusiness days are effectively ignored. Cash flows that fall on non-business days are assumed to be distributed on the actual date."follow"
— Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day."modifiedfollow"
— Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day. However if the following business day is in a different month, the previous business day is adopted instead."previous"
— Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day."modifiedprevious"
— Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day. However if the previous business day is in a different month, the following business day is adopted instead.
Data Types: char
| cell
| string
Holidays
— Holidays used in computing business days
NaT
(default) | datetime array | string array | date character vector
Holidays used in computing business days, specified as the
comma-separated pair consisting of 'Holidays'
and
dates using an NINST
-by-1
vector of a datetime array, string array, or date character vectors.
An example
follows.
H = holidays(datetime('today'),datetime(2025,12,15)); ConvertibleBondObj = fininstrument("ConvertibleBond",'CouponRate',0.34,'Maturity',datetime(2025,12,15),... 'ConversionRatio',ConvRatio,'CallSchedule',schedule,'CallExerciseStyle',"american",'Holidays',H)
To support existing code, ConvertibleBond
also
accepts serial date numbers as inputs, but they are not recommended.
EndMonthRule
— End-of-month rule flag for generating dates when Maturity
is end-of-month date for month with 30
or fewer days
true
(in effect) (default) | value of true
or
false
End-of-month rule flag for generating dates when
Maturity
is an end-of-month date for a month
with 30 or fewer days, specified as the comma-separated pair
consisting of 'EndMonthRule'
and a scalar logical
value or an NINST
-by-1
vector
of logical values of true
or
false
.
If you set
EndMonthRule
tofalse
, the software ignores the rule, meaning that a payment date is always the same numerical day of the month.If you set
EndMonthRule
totrue
, the software sets the rule on, meaning that a payment date is always the last actual day of the month.
Data Types: logical
IssueDate
— Bond issue date
NaT
(default) | datetime array | string array | date character vector
Bond issue date, specified as the comma-separated pair consisting
of 'IssueDate'
and a scalar or an
NINST
-by-1
vector using a
datetime array, string array, or date character vectors.
To support existing code, ConvertibleBond
also
accepts serial date numbers as inputs, but they are not recommended.
If you use date character vectors or strings, the format must be
recognizable by datetime
because
the IssueDate
property is stored as a
datetime.
FirstCouponDate
— Irregular first coupon date
NaT
(default) | datetime array | string array | date character vector
Irregular first coupon date, specified as the comma-separated pair
consisting of 'FirstCouponDate'
and a scalar or
an NINST
-by-1
vector using a
datetime array, string array, or date character vectors.
To support existing code, ConvertibleBond
also
accepts serial date numbers as inputs, but they are not recommended.
When you specify both FirstCouponDate
and
LastCouponDate
,
FirstCouponDate
takes precedence in
determining the coupon payment structure. If you do not specify
FirstCouponDate
, the cash flow payment dates
are determined from other inputs.
If you use date character vectors or strings, the format must be
recognizable by datetime
because
the FirstCouponDate
property is stored as a
datetime.
LastCouponDate
— Irregular last coupon date
NaT
(default) | datetime array | string array | date character vector
Irregular last coupon date, specified as the comma-separated pair
consisting of 'LastCouponDate'
and a scalar or an
NINST
-by-1
vector using a
datetime array, string array, or date character vectors.
To support existing code, ConvertibleBond
also
accepts serial date numbers as inputs, but they are not recommended.
If you specify LastCouponDate
but not
FirstCouponDate
,
LastCouponDate
determines the coupon
structure of the bond. The coupon structure of a bond is truncated
at LastCouponDate
, regardless of where it falls,
and is followed only by the bond's maturity cash flow date. If you
do not specify LastCouponDate
, the cash flow
payment dates are determined from other inputs.
If you use date character vectors or strings, the format must be
recognizable by datetime
because
the LastCouponDate
property is stored as a
datetime.
StartDate
— Forward starting date of payments
NaT
(default) | datetime array | string array | date character vector
Forward starting date of payments, specified as the
comma-separated pair consisting of 'StartDate'
and a scalar or an NINST
-by-1
vector using a datetime array, string array, or date character
vectors.
To support existing code, ConvertibleBond
also
accepts serial date numbers as inputs, but they are not recommended.
If you use date character vectors or strings, the format must be
recognizable by datetime
because
the StartDate
property is stored as a
datetime.
Name
— User-defined name for instrument
" "
(default) | string | character vector
User-defined name for one of more instruments, specified as the
comma-separated pair consisting of 'Name'
and a
scalar string or character vector or an
NINST
-by-1
cell array of
character vectors or string array.
Data Types: char
| cell
| string
Properties
CouponRate
— Coupon annual rate
scalar decimal | decimal vector | timetable
Coupon annual rate, returned as a scalar decimal or an
NINST
-by-1
or timetable.
Data Types: double
| timetable
Maturity
— Maturity date
datetime | vector of datetimes
Maturity date, returned as a scalar datetime or an
NINST
-by-1
vector of
datetimes.
Data Types: datetime
ConversionRatio
— Number of shares convertible from one bond
scalar numeric | numeric vector | timetable
Number of shares convertible from one bond, returned as a scalar numeric
or an NINST
-by-1
numeric vector an a
timetable.
Data Types: double
| timetable
Spread
— Number of basis points over the reference rate
scalar numeric | numeric vector
Number of basis points over the reference rate, returned as a scalar
numeric or an NINST
-by-1
numeric
vector.
Data Types: double
CallSchedule
— Call schedule
timetable
Call schedule, returned as a timetable.
Data Types: timetable
PutSchedule
— Put schedule
timetable
Put schedule, returned as a timetable.
Data Types: timetable
Period
— Coupons per year
2
(default) | integer | vector of integers
Coupons per year, returned as a scalar integer or an
NINST
-by-1
vector of
integers.
Data Types: double
Basis
— Day count basis
0
(actual/actual) (default) | integer from 0
to 13
| vector of integers from 0
to
13
Day count basis, returned as a scalar integer or an
NINST
-by-1
vector of
integers.
Data Types: double
Principal
— Notional principal amount or principal value schedule
100
(default) | scalar numeric | numeric vector | timetable
Notional principal amount or principal value schedule, returned as a
scalar numeric or an NINST
-by-1
numeric vector or a timetable.
Data Types: timetable
| double
DaycountAdjustedCashFlow
— Flag indicating whether cash flow adjusts for day count convention
false
(default) | value of true
or false
Flag indicating whether cash flow adjusted for day count convention,
returned as scalar logical or an
NINST
-by-1
vector of logicals with
values of true
or false
.
Data Types: logical
BusinessDayConvention
— Business day conventions
"actual"
(default) | string | string array
Business day conventions, returned as a scalar string or an
NINST
-by-1
string array.
Data Types: string
Holidays
— Holidays used in computing business days
NaT
(default) | datetime | vector of datetimes
Holidays used in computing business days, returned as datetimes or an
NINST
-by-1
vector of
datetimes.
Data Types: datetime
EndMonthRule
— End-of-month rule flag for generating dates when Maturity
is end-of-month date for month with 30 or fewer
days
true
(in effect) (default) | value of true
or false
End-of-month rule flag for generating dates when
Maturity
is an end-of-month date for a month with 30
or fewer days, returned as a scalar logical or an
NINST
-by-1
vector of
logicals.
Data Types: logical
IssueDate
— Bond issue date
NaT
(default) | datetime | vector of datetimes
Bond issue date, returned as a scalar datetime or an
NINST
-by-1
vector of
datetimes.
Data Types: datetime
FirstCouponDate
— Irregular first coupon date
NaT
(default) | datetime | vector of datetimes
Irregular first coupon date, returned as a scalar datetime or an
NINST
-by-1
vector of datetimes.
Data Types: datetime
LastCouponDate
— Irregular last coupon date
NaT
(default) | datetime | vector of datetimes
Irregular last coupon date, returned as a scalar datetime or an
NINST
-by-1
vector of datetimes.
Data Types: datetime
StartDate
— Forward starting date of payments
NaT
(default) | datetime | vector of datetimes
Forward starting date of payments, returned as a scalar datetime or an
NINST
-by-1
vector of datetimes.
Data Types: datetime
CallExerciseStyle
— Call option exercise style
"European"
(default) | string with value "European"
,
"American"
, or "Bermuda"
| string array with values of "European"
,
"American"
, or "Bermuda"
This property is read-only.
Call option exercise style, returned as a scalar string or
NINST
-by-1
string array with
values of "European"
, "American"
, or
"Bermuda"
.
Data Types: string
PutExerciseStyle
— Put option exercise style
"European"
(default) | string with value "European"
,
"American"
, or "Bermuda"
| string array with values of "European"
,
"American"
, or "Bermuda"
This property is read-only.
Put option exercise style, returned as a scalar string or an
NINST
-by-1
string array with
values of "European"
, "American"
, or
"Bermuda"
.
Data Types: string
Name
— User-defined name for instrument
" "
(default) | string | string array
User-defined name for the instrument, returned as a scalar string or an
NINST
-by-1
string array.
Data Types: string
Object Functions
setCallExercisePolicy | Set call exercise policy for OptionEmbeddedFixedBond ,
OptionEmbeddedFloatBond , or ConvertibleBond
instrument |
setPutExercisePolicy | Set put exercise policy for OptionEmbeddedFixedBond ,
OptionEmbeddedFloatBond , or ConvertibleBond
instrument |
Examples
Price ConvertibleBond
Instrument Using BlackScholes
Model and FiniteDifference
Pricer
This example shows the workflow to price a ConvertibleBond
instrument when you use a BlackScholes
model and a FiniteDifference
pricing method.
Create ConvertibleBond
Instrument Object
Use fininstrument
to create a ConvertibleBond
instrument object.
CouponRate = 0; Maturity = datetime(2014,10,1); ConvRatio = 2; Period = 1; Spread = 0.05; CallExDates = datetime(2014,10,1); CallStrike = 115; CallSchedule = timetable(CallExDates, CallStrike); ConvBond = fininstrument("ConvertibleBond",'CouponRate',CouponRate,'Maturity',Maturity,'ConversionRatio',ConvRatio,'Period',Period,'Spread',Spread,'CallSchedule',CallSchedule,'CallExercisestyle',"american",'Name',"Convertible_Bond")
ConvBond = ConvertibleBond with properties: CouponRate: 0 ConversionRatio: 2 Spread: 0.0500 Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT Maturity: 01-Oct-2014 IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT CallSchedule: [1x1 timetable] PutSchedule: [0x0 timetable] CallExerciseStyle: "american" PutExerciseStyle: [0x0 string] Name: "Convertible_Bond"
Create BlackScholes
Model Object
Use finmodel
to create a BlackScholes
model object.
AssetPrice = 50; Volatility = 0.3; BSModel = finmodel("BlackScholes",'Volatility',Volatility)
BSModel = BlackScholes with properties: Volatility: 0.3000 Correlation: 1
Create ratecurve
Object
Create a ratecurve
object using ratecurve
.
StartDate = datetime(2014,1,1); EndDate = datetime(2015,1,1); Rate = 0.1; ZeroCurve = ratecurve('zero',StartDate,EndDate,Rate,'Compounding',-1,'Basis',1)
ZeroCurve = ratecurve with properties: Type: "zero" Compounding: -1 Basis: 1 Dates: 01-Jan-2015 Rates: 0.1000 Settle: 01-Jan-2014 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create FiniteDifference
Pricer Object
Use finpricer
to create a FiniteDifference
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
outPricer = finpricer("FiniteDifference",'Model',BSModel,'SpotPrice',AssetPrice,'DiscountCurve',ZeroCurve)
outPricer = FiniteDifference with properties: DiscountCurve: [1x1 ratecurve] Model: [1x1 finmodel.BlackScholes] SpotPrice: 50 GridProperties: [1x1 struct] DividendType: "continuous" DividendValue: 0
Price ConvertibleBond
Instrument
Use price
to compute the price and sensitivities for the ConvertibleBond
instrument.
[Price, outPR] = price(outPricer,ConvBond,"all")
Price = 104.3812
outPR = priceresult with properties: Results: [1x7 table] PricerData: [1x1 struct]
outPR.Results
ans=1×7 table
Price Delta Gamma Lambda Theta Rho Vega
______ ______ _______ _______ _______ _______ ______
104.38 1.3012 0.04195 0.62329 0.72984 -21.883 17.947
Price Multiple ConvertibleBond
Instruments Using BlackScholes
Model and FiniteDifference
Pricer
This example shows the workflow to price multiple ConvertibleBond
instruments when you use a BlackScholes
model and a FiniteDifference
pricing method.
Create ConvertibleBond
Instrument Object
Use fininstrument
to create a ConvertibleBond
instrument object for three Convertible Bond instruments.
ConvRatio = 2; Period = 1; Spread = 0.05; CallExDates = datetime(2014,10,1); CallStrike = 115; CallSchedule = timetable(CallExDates, CallStrike); ConvBond = fininstrument("ConvertibleBond",'CouponRate',[0 ; 0.1 ; 0.2],'Maturity',datetime([2014,10,1 ; 2014,11,1 ; 2014,12,1]),'ConversionRatio',[2 ; 4 ; 6],'Period',Period,'Spread',Spread,'CallSchedule',CallSchedule,'CallExercisestyle',"american",'Name',"Convertible_Bond")
ConvBond=3×1 ConvertibleBond array with properties:
CouponRate
ConversionRatio
Spread
Period
Basis
EndMonthRule
Principal
DaycountAdjustedCashFlow
BusinessDayConvention
Holidays
Maturity
IssueDate
FirstCouponDate
LastCouponDate
StartDate
CallSchedule
PutSchedule
CallExerciseStyle
PutExerciseStyle
Name
Create BlackScholes
Model Object
Use finmodel
to create a BlackScholes
model object.
AssetPrice = 50; Volatility = 0.3; BSModel = finmodel("BlackScholes",'Volatility',Volatility)
BSModel = BlackScholes with properties: Volatility: 0.3000 Correlation: 1
Create ratecurve
Object
Create a ratecurve
object using ratecurve
.
StartDate = datetime(2014,1,1); EndDate = datetime(2015,1,1); Rate = 0.1; ZeroCurve = ratecurve('zero',StartDate,EndDate,Rate,'Compounding',-1,'Basis',1)
ZeroCurve = ratecurve with properties: Type: "zero" Compounding: -1 Basis: 1 Dates: 01-Jan-2015 Rates: 0.1000 Settle: 01-Jan-2014 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create FiniteDifference
Pricer Object
Use finpricer
to create a FiniteDifference
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
outPricer = finpricer("FiniteDifference",'Model',BSModel,'SpotPrice',AssetPrice,'DiscountCurve',ZeroCurve)
outPricer = FiniteDifference with properties: DiscountCurve: [1x1 ratecurve] Model: [1x1 finmodel.BlackScholes] SpotPrice: 50 GridProperties: [1x1 struct] DividendType: "continuous" DividendValue: 0
Price ConvertibleBond
Instruments
Use price
to compute the prices and sensitivities for the ConvertibleBond
instruments.
[Price, outPR] = price(outPricer,ConvBond,"all")
Price = 3×1
104.3812
198.3288
298.3014
outPR=3×1 priceresult array with properties:
Results
PricerData
outPR.Results
ans=1×7 table
Price Delta Gamma Lambda Theta Rho Vega
______ ______ _______ _______ _______ _______ ______
104.38 1.3012 0.04195 0.62329 0.72984 -21.883 17.947
ans=1×7 table
Price Delta Gamma Lambda Theta Rho Vega
______ _____ __________ ______ ______ __________ __________
198.33 4 1.7053e-13 1.0084 300.82 2.8422e-10 2.8422e-10
ans=1×7 table
Price Delta Gamma Lambda Theta Rho Vega
_____ _____ ___________ ______ ______ ___________ ___________
298.3 6 -1.7053e-13 1.0057 277.96 -1.7053e-09 -5.6843e-10
More About
Convertible Bond
A convertible bond is a financial instrument that combines equity and debt features.
A convertible bond is a bond that can be converted into a fixed number of shares, with the holder having the right to make this exchange at a preset price. Key features include:
Coupon — Typically lower than standard bonds as investors accept lower rates for potential equity participation.
Maturity — Usually long-term. Short-term convertible bonds generally lack call or put provisions.
Conversion Ratio — The number of shares received when exercising the bond's call option. It's calculated by dividing the bond's par value by the equity's conversion price.
For example, a conversion ratio of 25 means a bond can be exchanged for 25 shares of stock. This also implies a conversion price of $40 (1000/25). This, $40, is the price at which the owner would buy the shares. This can be expressed as a ratio or as the conversion price and is specified in the contract along with other provisions.
Types of convertible bonds:
Callable Convertible — Callable by the issuer, forcing conversion or redemption at the call price, allowing the issuer to control the bond's price or refinance the debt.
Puttable Convertible — Features a put option allowing the bondholder to sell back the bond at a premium on a specific date, protecting against rising interest rates.
Tips
After creating a ConvertibleBond
object, you can modify the
CallSchedule
and CallExerciseStyle
using
setCallExercisePolicy
. You can modify the PutSchedule
and PutExerciseStyle
values using setPutExercisePolicy
.
Version History
Introduced in R2021aR2022b: Serial date numbers not recommended
Although ConvertibleBond
supports serial date numbers,
datetime
values are recommended instead. The
datetime
data type provides flexible date and time
formats, storage out to nanosecond precision, and properties to account for time
zones and daylight saving time.
To convert serial date numbers or text to datetime
values, use the datetime
function. For example:
t = datetime(738427.656845093,"ConvertFrom","datenum"); y = year(t)
y = 2021
There are no plans to remove support for serial date number inputs.
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