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CB portfolio implied vol

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dodobaby
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Joined: May 12th, 2003, 8:37 am

CB portfolio implied vol

July 19th, 2005, 9:16 am

How do we calculate the implied vol of CB portfolio?
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Jaxx
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Joined: August 28th, 2004, 3:21 pm

CB portfolio implied vol

July 19th, 2005, 10:11 pm

what do you mean by portfolio? what's in it? if its only one cb - then its the theo vol that makes the portfolio value match the market price???
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dodobaby
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Joined: May 12th, 2003, 8:37 am

CB portfolio implied vol

July 22nd, 2005, 4:05 am

I mean how to calculate if we got "a CB portfolio"--got many CB issues.
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