convertible-bond

A-share convertible bond valuation requires computing pure-bond value, conversion value, and implied option value to identify mispriced instruments. This three-dimensional valuation combines bond-floor analysis with equity option pricing to generate buy, hold, or sell recommendations.

Dual-low screening ranks convertible bonds by combined price and premium metrics to identify undervalued opportunities. Monthly rotation applies filters for rating, remaining term, and liquidity, generating rebalanced top-N equal-weight selection lists for backtesting.

Clause game analysis evaluates down-adjustment, forced redemption, and put-back trigger conditions to predict their impact on bond price and conversion dynamics. Modeling these clause-driven events reduces credit and clause risk in A-share convertible bond portfolios.

Backtesting convertible bond rotation strategies supports Tushare or equivalent data feeds to supply underlying stock OHLCV and bond terms. The framework runs monthly rebalancing backtests with top-N equal-weight selection, emphasizing risk controls and credit checks.

Analyzing convertible bond clause risk and option value requires bond terms including conversion price, coupon schedule, maturity, and clause details, plus underlying stock OHLCV data. Optional Tushare or equivalent feeds support valuation and backtesting.

Dual-low screening may be insufficient when clause-driven events dominate pricing, such as imminent down-adjustment or forced redemption triggers. In these cases, three-dimensional valuation and clause game analysis provide deeper risk assessment than price-premium metrics alone.