Valtech Valuation CB Valuation Online Demo (For Educational Purposes Only)

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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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 (risk neutral)

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)

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