calculate_convertible_bond

io.github.simonmak-ascent/fair-value · Verify this server

Convertible-bond engine. Value callable and puttable convertible or exchangeable bonds with credit risk using a Tsiveriotis-Fernandes lattice (equity discounted at the risk-free rate, debt at a credit spread), with conversion, issuer call, holder put, coupon schedule, and a straight-bond floor. Use this for convertible and exchangeable bonds; for a plain bond or rate curve use calculate_fixed_income, and for a standalone option or warrant use calculate_option. The lattice_tsf, lattice_intensity, finite_difference, lsmc and quantlib methods are alternative numerical schemes for the same valuation and take identical inputs (Tsiveriotis-Fernandes is the reference, lsmc is Monte Carlo, quantlib needs the optional engine); choose one. Methods: lattice_tsf/lattice_intensity/finite_difference/lsmc/quantlib: spot, face, coupon_rate, maturity, conversion_ratio, volatility, risk_free, credit_spread, call_schedule, put_schedule, rights_priority. Supply exactly one method with its declared inputs (no defaults). An unknown method, a missing input, or an extra field returns an error envelope (code INVALID_ARGUMENT) instead of raising.