Plain-English summary
This bond looks rich to model by -14.9%. The market is paying more than our pricer says is fair. Either avoid, or short if you can borrow. Greeks below show how the bond responds to changes in stock price, vol, time, and interest rates — these drive your hedge ratios.
Market102.12
Model · MC86.93
Cheap-14.9%
MC vs Tree-5.56
Bond floor81.36
Parity33.99
Premium200%
HV6047%
IV100%
Δ Delta0.000
Γ Gamma0.00000
Vega0.14
θ /day+0.141
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 102.12 = —. Short — shares of 3498.T at ¥6,020. 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).