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Valuing convertible bonds with 20-of-30 soft call provision


ITO33 is the leading provider of software and solutions to value and risk-manage convertible bonds and equity derivatives. At a time when many vendors are merely addressing issues of scope and volume, ITO33 remains convinced that firms specialising in trading convertible bonds should also demand rigorous handling of challenging valuation problems. These can have a significant impact on the theoretical value and greeks of the traded instruments.

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