Convertible Arbitrage Strategy Backtester

Convertible Arbitrage Strategy Setup

Define the convertible bond, underlying stock, and general parameters for your backtest.

Bond Name

Face Value ($)

Annual Coupon Rate (%)

Conversion Ratio (Shares per Bond)

Annual Risk-Free Rate (%)

Annual Stock Borrow Cost (%)

Initial Investment Capital ($)

Enter the historical month-end prices for the convertible bond and its underlying stock. At least 2 months of data are required.

Month	Bond Price ($)	Stock Price ($)

Review the performance of your convertible arbitrage strategy over the specified period.

Month	Bond Price ($)	Stock Price ($)	Monthly Return (%)	Cumulative Value ($)