Bond Convertible
financepy.products.bonds.bond_convertible
Classes
BondConvertible
BondConvertible(maturity_dt: financepy.utils.date.Date, coupon: float, freq_type: financepy.utils.frequency.FrequencyTypes, start_convert_dt: financepy.utils.date.Date, conversion_ratio: float, call_dts: List[financepy.utils.date.Date], call_prices: numpy.ndarray, put_dts: List[financepy.utils.date.Date], put_prices: numpy.ndarray, accrual_dc_type: financepy.utils.day_count.DayCountTypes, cal_type: financepy.utils.calendar.CalendarTypes = <CalendarTypes.WEEKEND: 2>) -> None
Class for convertible bonds. These bonds embed rights to call and put
the bond in return for equity. Until then, they are bullet bonds which
means they have regular coupon payments of a known size that are paid on
known dates plus a payment of par at maturity. As the options are price
based, the decision to convert to equity depends on the stock price,
the credit quality of the issuer and the level of interest rates.
Methods
value
value(self, settle_dt: financepy.utils.date.Date, stock_price: float, stock_volatility: float, dividend_dts: List[financepy.utils.date.Date], dividend_yields: numpy.ndarray, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, credit_spread: float, recovery_rate: float = 0.4, num_steps_per_year: int = 100)
A binomial tree valuation model for a convertible bond that captures
the embedded equity option due to the existence of a conversion option
which can be invoked after a specific date.
The model allows the user to enter a schedule of dividend payment
dates but the size of the payments must be in yield terms i.e. a known
percentage of currently unknown future stock price is paid. Not a
fixed amount. A fixed yield. Following this payment the stock is
assumed to drop by the size of the dividend payment.
The model also captures the stock dependent credit risk of the cash
flows in which the bond price can default at any time with a hazard
rate implied by the credit spread and an associated recovery rate.
This is the model proposed by Hull (OFODS 6th edition,.page 522).
The model captures both the issuer's call schedule which is assumed
to apply on a list of dates provided by the user, along with a call
price. It also captures the embedded owner's put schedule of prices.
accrued_interest
accrued_interest(self, settle_dt: financepy.utils.date.Date, face: float)
Calculate the amount of coupon that has accrued between the
previous coupon date and the settlement date.
current_yield
current_yield(self, clean_price: float)
Calculate the current yield of the bond which is the
coupon divided by the clean price (not the full price)
Functions
print_tree
print_tree(array)
No description available.
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