Plain-English summary
This bond is trading roughly in line with our model fair value. Greeks below show how the bond responds to changes in stock price, vol, time, and interest rates — these drive your hedge ratios.
Market199.62
Model · MC207.14
Cheap+3.8%
MC vs Tree-5.52
Bond floor76.84
Parity207.35
Premium-4%
HV6050%
IV—
Δ Delta0.026
Γ Gamma0.00000
Vega0.57
θ /day-0.003
Position sizing & hedge calculator
Bond cost (mkt)—
Shares to short
Short proceeds—
Expected mispricing—
Theta /day—
Vega /1 vol pt—
Buy ¥100M face of this CB at market 199.62 = —. Short — shares of 6383.T at ¥7,197. If model is right, expected gross convergence P&L is —. After 25bp bond round-trip + 5bp equity round-trip transaction costs, net edge is —. At 1% JPY financing on the long bond, daily carry costs — (offset by short rebate).