Convertible bonds model parameters

As explained in the introduction, the value of a convertible bond is the sum of two main components, the option-free bond and a call option on underlying security. The value of the option-free bond, or bond floor, is determined as the sum of future payments (coupon and principal at maturity). Therefore, the bond component is influenced by three main parameters, that is the maturity, the coupon percentage on par value and the yield to maturity (discount rate). Differently, the value of a call option can be found mainly through two option pricing models, Black Scholes model and binomial tree model. 

Model Parameters Affecting Value of Convertible Bonds... 

As noted, the share price is a key parameter of the option pricing model. An increase in the underlying share price will result in a rise of the convertible price, and a decrease in the share price will result in a fall of the convertible price. Figure 9.9 illustrates the comparison between the convertible bond price and share price of Intel Corporation. 

The second parameter that affects convertible value is the volatility. In fact, the volatility of the underlying asset is the main element that moves the value of the embedded option, in which pricing models are very sensitive from this parameter. Note that convertible price rises as the volatility increases. The chart shown in Figure 9.11 defines the value of the convertible bond with the volatilities of 25%, 35% and 45%. 

We show at FIGURE 13.10 a basic spreadsheet for a convertible bond pricing model. The model parameters are shown at the top. We also show at Appendix III the cell formulae so that the sheet can be reproduced by... 

As explained in Sect. 5.3.2, variations of ARR residuals due to parameter variations are obtained by summing increments of power variables at junctions of an incremental bond graph to which a virtual detector has been attached. Replacement of the switch model as well as the other bond graph elements in the DBG of the boost converter in Fig. 8.2 by their incremental model gives the incremental DBG depicted in Fig. 8.14. 

On an other hand, a very simple model of collision can be proposed where there is simultaneously breaking of the hydrogen bond and formation of the CsH one half the kinetic energy of H2 is converted into rotational energy of CsH. By writing the conservation of angular momenta, Kv j"(j"+1) yVj-b where y is the reduced mass of CsH, Vj. is the relative velocity and b the impact parameter, one gets b v 5 a, for j" = 12 this value of b is to be compared with the value of the Cs-Hj distance at which occurs the jump from the Cs(7P)+H2 surface onto the Cs J Cs-Hj this... 

The bond graph of the full model is also given in Fig. 2.5 and has six ideal energy elements, two of each type (/, C, and / ), and their parameters are given in Table 2.1. Note that the model includes only the system dynamics in the vertical direction the constant forward speed is used only to convert the spatial road description Zr x) into a temporal vertical velocity input, Vr(t), at the road/tire interface as shown in... 

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