[Smartcpa]

Hi

Is there anyone here familiar with Derivatives? If the convertible note has been defaulted, how do we determine the time to maturity in Black Scholes calculation?

Thank in advance

Passed all 4 sections within 6 months

FAR: 4/2016

BEC: 5/2016

AUD: 6/2016

REG: 7/20/16 (exam day), score day (8/4/16)

[Anonymous]

Are you looking to do this by hand or in excel?
Financial Modeling by Simon Benninga has a good chapter explaining how to do this with excel and vba. You can easily find a copy of the the 3rd edition online. Its in chapter 13.
Hope this helps

[Smartcpa]

but how can we determine what period. Let say the convertible note issued on 1/1/2015 and matured on 12/31/2015. At the end of 2015, the note has not been converted yet. It is defaulted and how we determine the time to maturity. is it zero or what else?
Thanks

Passed all 4 sections within 6 months

FAR: 4/2016

BEC: 5/2016

AUD: 6/2016

REG: 7/20/16 (exam day), score day (8/4/16)

[Author]

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