I have valued dozens of convertible debts and their embedded derivatives. For example:
On July 17, 2017 Buyco acquired Sellco in an exchange of shares. As part of the transaction Convertible Notes issued by Sellco became Convertible into Buyco common stock. The face value of the Convertible Notes is $87,452,000. Before the acquisition each $1,000 Convertible Note could be exchanged for 74.488 shares of Sellco. Buyco acquired each share of Sellco by exchanging 0.5 shares of common stock of Buyco for each share of common stock of Sellco. Instead of setting the conversion rate at 37.244 shares of Buyco Common stock per $1,000 note, the conversion rate was set at 41.382. The report below calculates the fair values of the Convertible Note for both conversion ratios 37.244 and 41.382.