Theoretical value of the CB - by determining the theoretical component values of straight bond and share option. This table analyses in detail the income differential between the CB and underlying shares, and allows for the effect of different dividend growth rates to be analysed. The income for each year to maturity of the CB is calculated. This shows the absolute annual dividends received each year from the shares. The first payment derives from the input of the dividend yield and share price , while subsequent years' amounts are based on the input forecast dividend growth rate.
Account is taken of whether the coupon payments are annual or semi-annual.
It is assumed that the dividends are paid on a semi-annual basis. All rights reserved.