4

To supplement @Dimitri's excellent answer, I recommend a little booklet called "Government Bond Outlines," published by JPMorgan's index team. This is easily obtainable from JPMorgan's research website. It lists, for each government bond market, the market characteristics, calculation convention, and trading basis (e.g., quotation, tick size, ...


4

There is no authoritative source. If you're dealing with vast quantities of diverse bond quotes, then it's very hard to interpet them correctly all the time, although you might get be right most of the time with less effort. As general guidelines, yes, IG is usually yield, and HY is usually price. But some issuers (e.g. EM eurobonds) are usually price even ...


3

You have a conversion ratio of $100/12.1 \approx 8.26$, so the convertibility is an option on about 8 underlying stocks and the delta scales accordingly. I'm not familiar about the way it's quoted, though. Did you expect it to be the delta for one unit of stock?


1

I have recently released a Python financial library called FinancePy. It has a convertible bond model implementation. It is still in beta so may have some bugs but you are welcome to try it out. It also uses Numba so it is fast and you can look through to the actual Python code. The github is at https://github.com/domokane/FinancePy Here is an example ...


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