Plain-English summary
This bond looks cheap to model by +31.4%. The market is paying 81.75 (% of par) while our pricer says fair value is 107.39. To trade it: buy ¥100M face, short delta × shares of 4565.T to neutralize stock direction, hold until the gap closes (typical: 1-3 months). Greeks below show how the bond responds to changes in stock price, vol, time, and interest rates — these drive your hedge ratios.
Market81.75
Model · Tree107.39
Cheap+31.4%
Bond floor86.81
Parity65.77
Premium24%
HV6065%
IV—
Δ Delta0.031
Γ Gamma-0.00000
Vega0.39
θ /day-0.002
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 81.75 = —. Short — shares of 4565.T at ¥1,172. 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).