Welcome to Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange is a question and answer site for professionals and academics in quantitative finance. It's built and run by you as part of the Stack Exchange network of Q&A sites. With your help, we're working together to build a library of detailed answers to every question about quantitative finance.
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Accepting doesn't mean it's the best answer, it just means that it worked for the person who asked.
How do I calculate the delta of a convertible bond?
Tangurena's answer and links give the right idea. You can get a rough approximation by finding the conversion price $K$ and using that $K$ as the strike in a standard Black-Scholes option pricer.
In practice, most people work with 3rd party models such as the ones built into Bloomberg, Monis, or Kynex.
Get answers to practical, detailed questions
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- securities valuation
- risk modeling
- market microstructure
- portfolio management
- financial engineering
Not all questions work well in our format. Avoid questions that are primarily opinion-based, or that are likely to generate discussion rather than answers.
Questions that need improvement may be closed until someone fixes them.
Don't ask about...
- How do I become a quant?
- What programming language should I use?
- Where can I find free data online?
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