|
Technology
Our approach is based
on a PDE (Partial Differential Equation) algorithm which
is extremely accurate and very quick. The numerical
algorithm was designed by a mathematics Professor at the
University of Chicago. The algorithm takes into account
that as stock prices decline extremely low levels spreads widen
to account for increased default risk. The program has
"hooks" into the Bloomberg so loading a new bond is as
easy as pressing a button.
Availability
The program is available on many different
platforms (e.g. PC Windows, Excel, Unix Subroutine
and more).
Partial List of Features
- Convertible bonds and preferred
shares
- CoCos (Contingent Convertible
Bonds)
- Makewhole structures
- Convertibles with embedded
warrants
- Step up or step down coupons
- Convertible into shares and cash
- Floating rate convertibles
- Dual currency convertibles
- All kinds of mandatory
convertible structures (Percs, DECs, ELKs, Reverse
Convertibles and more)
- Warrants (Call and Put options)
- Changing dividends which could
be either cash dividends or a dividend yield
- Correct accounting for dividends
- Term structure of volatility and
volatility skew
- Takes into account very low
stock prices and the increased risk of default
Data Sheet
Click
here to read a data sheet of ConvB |
