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Valtech Valuation CB Valuation Online Demo (For Educational Purposes Only)
 -Convertible Zero Coupon Bond Valuation  (Binomial model with early exercise)
Yellow cells are input cells      
Binomial Model for Convertible Bond Valuation    
S - Adjusted stock price ($)
X - Exercise price ($)
σ - Volatility (Annualized Volatility)
Dividend yield  
Bond principle amount ($)  
Valuation date (on or before maturity date)
Maturity Date
Bond discount rate
r - Risk free rate  
Fair value per $1 of CB par value  
CB Value ($)  
Value of Straight Bond ($)  
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Disclaimer: This demo is for non-commerical and education purpose which cannot replace a valuation. We shall not accept any responsibility for any loss or damage arising from the use of the information in this page.    
Sensitivity Analysis (At different exercise price at X-Axis)  
Relevant Inputs Applied in the Model    
T-t  - Time To Maturity (day count 365)  
Number of Steps 20.00  
dt - change of time interval  
u - multiple for up value of stock  
d - multiple for down value of stock  
p - probability of up/down 0.5  
Underlying Number of Options  
Bond discount rate - continuous  
r - Risk free rate - continuous  
Dividend yield - continuous  
Conversion ratio  
Discount factor (Bond)  
Discount factor (Risk free)