How to Get the Greeks of Convertible Bonds
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Hi, all,
I have investigated convertible bonds pricing for a few weeks. To get the net present value, we produced a modified version of ConvertibleBonds in QuantLib/Examples folder. One question came to me when I went further, as we are interested in the Greeks of convertible bonds, like delta, gamma etc. I'd like to know is there any existing classes which provide the Greeks calculation for convertible bond, just like BlackCalculator(in ql/pricingengines folder) for options? If not, I will be grateful for any thoughts about how to model the Greeks calculation? Thanks in advance. Regards, Vivian |
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Hi Vivian,
Since currently convertible bonds engine is based on binomial tree. So it is not very hard to exploit the tree structure to get the Greeks by finite difference, e.g. Using 2 node values from the end of the first time step to get the delta. The similar technique can be applied to get like gamma and theta. Such technique will work when your grids are dense. It may not be easy to get vega, rho and so on since the above technique doesn't work for them. Regards, Cheng 发自我的 iPad > 在 2014年12月9日，16:49，Vivian Wu <[hidden email]> 写道： > > Hi, all, > > I have investigated convertible bonds pricing for a few weeks. To get the > net present value, we produced a modified version of ConvertibleBonds in > QuantLib/Examples folder. > One question came to me when I went further, as we are interested in the > Greeks of convertible bonds, like delta, gamma etc. I'd like to know is > there any existing classes which provide the Greeks calculation for > convertible bond, just like BlackCalculator(in ql/pricingengines folder) for > options? > If not, I will be grateful for any thoughts about how to model the Greeks > calculation? > > Thanks in advance. > > > Regards, > > Vivian > > > > -- > View this message in context: http://quantlib.10058.n7.nabble.com/How-to-Get-the-Greeks-of-Convertible-Bonds-tp16107.html > Sent from the quantlib-users mailing list archive at Nabble.com. > > ------------------------------------------------------------------------------ > Download BIRT iHub F-Type - The Free Enterprise-Grade BIRT Server > from Actuate! Instantly Supercharge Your Business Reports and Dashboards > with Interactivity, Sharing, Native Excel Exports, App Integration & more > Get technology previously reserved for billion-dollar corporations, FREE > http://pubads.g.doubleclick.net/gampad/clk?id=164703151&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Download BIRT iHub F-Type - The Free Enterprise-Grade BIRT Server from Actuate! Instantly Supercharge Your Business Reports and Dashboards with Interactivity, Sharing, Native Excel Exports, App Integration & more Get technology previously reserved for billion-dollar corporations, FREE http://pubads.g.doubleclick.net/gampad/clk?id=164703151&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: How to Get the Greeks of Convertible Bonds
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Except that the nodes are currently not exposed to the end user. If you're willing to modify the library code, Cheng's is the way to go. Otherwise, you can just reprice the bond after bumping up and down the market data and calculate the Greeks by finite differences. Luigi On Tue, Dec 9, 2014 at 3:31 PM, Cheng Li <[hidden email]> wrote: Hi Vivian, ------------------------------------------------------------------------------ Download BIRT iHub F-Type - The Free Enterprise-Grade BIRT Server from Actuate! Instantly Supercharge Your Business Reports and Dashboards with Interactivity, Sharing, Native Excel Exports, App Integration & more Get technology previously reserved for billion-dollar corporations, FREE http://pubads.g.doubleclick.net/gampad/clk?id=164703151&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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