CapeTools ConvertibleBond Engine
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In total there are 6 functions present within the CapeTools ConvertibleBond Engine category of functions.
General Description
Functions to create several Tsiveriotis-Fernandes engines for the pricing of convertible bonds. You can price Convertible Bonds via the ConvertibleBond() function using one of the following engines :
- Jarrow Rudd Tsiveriotis-Fernandes Engine
- Cox Ross Rubinstein Tsiveriotis-Fernandes Engine
- Additive equal probability Tsiveriotis-Fernandes Engine
- Trigeorgis Tsiveriotis-Fernandes Engine
- Tian Tsiveriotis-Fernandes Engine
- Leisen Reimer Tsiveriotis-Fernandes Engine
Function list.
- CRRConvertibleEngine - Creates a CoxRossRubinstein Binomial Tsiveriotis-Fernandes engine for the pricing of convertible bonds.
- EQPConvertibleEngine - Creates an additive EQP Binomial Tsiveriotis-Fernandes engine for the pricing of convertible bonds.
- JRConvertibleEngine - Creates a JarrowRudd Binomial Tsiveriotis-Fernandes engine for the pricing of convertible bonds.
- LRConvertibleEngine - Creates a LeisenReimer Binomial Tsiveriotis-Fernandes engine for the pricing of convertible bonds.
- TConvertibleEngine - Creates a Trigeorgis Binomial Tsiveriotis-Fernandes engine for the pricing of convertible bonds.
- TianConvertibleEngine - Creates a Tian Binomial Tsiveriotis-Fernandes engine for the pricing of convertible bonds.
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