<t>I have a question relating to the share price used calculating the value of a convertible bond. If you know what the enterprise value is of a private Issuer, do you determine share price based on ordinary shares only; ordinary shares plus outstanding options and warrants; or ordinary shares, opti...

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MONIS has some pretty solid software. Check them out.

<t>I used the text books and readings mostly and Schweser as a backup when necessary (some readings I found very confusing). I passed all 3 in 3 years. A friend of mine used Stalla for level 2 and failed, but that could have simply been his study approach.I recommend using the text books and reading...

<t>Levered beta states that beta is made up of an industry component, operating leverage and financial leverage - or so they say. I tested this against a group of 22 western European web hosting/ISP's, comparing levered beta (as reported by Bloomberg), unlevered beta (adjusted for debt to equity rat...

<t>QuoteOriginally posted by: erstwhilethe input volatility was 32% and the theoretical price came out to be 99.59%.the implied volatility would be the volatility that equates the price to the issue price of 100%.in this case it comes out to be 32.94%.did I understand correctly the way you discount ...

<t>After further considering cometopapa's approach and reviewing Bloomberg's methodology, it seems that the correct approach is to solve for volatility where theoretical convertible bond price is equal to nominal value (Eur 1000 in this case). Once again, simplicity wins.Based on erstwhile's conside...

<t>QuoteOriginally posted by: erstwhilepretty much all professional models use the risky rate everywhere in the model, and i believe this is reasonable.you might try this in your model and see if the implied vol comes out to be a more reasonable number.so if i understand, for a given time slice, for...

<t>QuoteOriginally posted by: erstwhileCB example - 5 year non call life - bad credit:issue price 100maturity 5yrcoupon 6% semi-annualcurr USDissue premium 35%cred spread 1000bp over risk-free (not LIBOR)redemption at 100volatility 32%div yield zerostock borrow 100bpmodel produces:price 99.59%delta ...

<t>QuoteOriginally posted by: cometopapai've never used that method (theo value - bond floor = option value) to get the implied option value. it's interesting and i'll probably run it through to compare the results to our model, though. we often value new issues using implied vol, especially when a ...

You guys are great by the way. Thanks for taking the time to go through this.

<t>QuoteOriginally posted by: erstwhilepike: how are you modelling the soft call? this question applies to both your option approximation and your own homemade model.is it one of those "if the stock price trades at 130% of the conversion price for 20 out of 30 days then the issuer calls at par + mak...

<t>QuoteOriginally posted by: cometopapato calculate the implied vol using your model, you can play around with the assumed vol until the theoretical price equals the market price.This is a new issue, so there is no market price to compare it to. I am assuming that I can compare the converison optio...

<t>This is a new CB issue and the issuer has a soft call. The credit spread appears to be OK, as does the risk free rate.In regards to using a full CB model, I have built my own model and do not presently have access to a vendor model. Using my own model, how would I use it to calculate option value...

How is the data stored?