How can I find the delta of a convertible bond to be used for hedging?
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.
We're a little bit different from other sites. Here's how:
Ask questions, get answers, no distractions
This site is all about getting answers. It's not a discussion forum. There's no chit-chat.
Just questions...
...and answers.
Good answers are voted up and rise to the top.
The best answers show up first so that they are always easy to find.
The person who asked can mark one answer as "accepted".
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?
2 Answers
Well, it takes a little more information than you've provided, but here are links to a pdf and associated excel spreadsheet that should help you answer your question.
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
Focus on questions about an actual problem you have faced. Include details about what you have tried and exactly what you are trying to do.
Ask about...
- securities valuation
- risk modeling
- market microstructure
- portfolio management
- financial engineering
- econometrics
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?
You earn reputation when people vote on your posts
Your reputation score goes up when others vote up your questions, answers and edits.
As you earn reputation, you'll unlock new privileges like the ability to vote, comment, and even edit other people's posts.
Reputation | Privilege |
---|---|
15 | Vote up |
50 | Leave comments |
125 | Vote down (costs 1 rep on answers) |
At the highest levels, you'll have access to special moderation tools. You'll be able to work alongside our community moderators to keep the site focused and helpful.
500 | Vote to close, reopen, or migrate questions |
---|---|
1000 | Edit other people's posts |
2000 | Access to moderation tools |
Improve posts by editing or commenting
Our goal is to have the best answers to every question, so if you see questions or answers that can be improved, you can edit them.
Use edits to fix mistakes, improve formatting, or clarify the meaning of a post.
Well, it takes a little more information than you've provided, but here are links to a pdf and associated excel spreadsheet that should help you answer your question.
Unlock badges for special achievements
Badges are special achievements you earn for participating on the site. They come in three levels: bronze, silver, and gold.
Student | First question with score of 1 or more |
Editor | First edit |
Good Answer | Answer score of 25 or more |
Civic Duty | Vote 300 or more times |
Famous Question | Question with 10,000 views |
Sign up to get started
Signing up allows you to:
- Earn reputation when you help others with questions, answers and edits.
- Select favorite tags to customize your home page.
- Claim your first badge: Informed
Quantitative Finance Stack Exchange is part of the Stack Exchange network
Like this site? Stack Exchange is a network of 176 Q&A sites just like it. Check out the full list of sites.
Use comments to ask for more information or clarify a question or answer.
You can always comment on your own questions and answers. Once you earn 50 reputation, you can comment on anybody's post.
Remember: we're all here to learn, so be friendly and helpful!