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Can I price a convertible bond using QuantLib?

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Pavan Shah-2

Can I price a convertible bond using QuantLib?

I am looking for a Convert pricer that accomodates call provisions.

I could write code for a Crank Nicholson scheme or a trinomial tree but I am hoping quantlib has something already.

can someone point me in the right direction (functions, classes in QuantLib)?

thanks

Pavan

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Luigi Ballabio

Re: Can I price a convertible bond using QuantLib?

Hi Pavan,
you can have a look inside the ql/experimental/convertiblebonds
folder. It might not use the model you're looking for, though (it
uses a binomial tree for the equity process, but doesn't model the
dynamics of the rates) so check it first.
Otherwise, you can go the other route and look at the classes in the
ql/experimental/callable folder. They implement callable bonds with a
trinomial tree for the short-rate dynamics, but you'll have to add the
convertibility in some way.

Hope this helps,
Luigi

On Thu, Jul 18, 2013 at 10:49 PM, Pavan Shah <[hidden email]> wrote:

> I am looking for a Convert pricer that accomodates call provisions.
> I could write code for a Crank Nicholson scheme or a trinomial tree but I am
> hoping quantlib has something already.
>
> can someone point me in the right direction (functions, classes in
> QuantLib)?
>
> thanks
> Pavan
>
> ------------------------------------------------------------------------------
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> Get end-to-end visibility with application monitoring from AppDynamics
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> _______________________________________________
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> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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<https://twitter.com/lballabio>

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Pavan Shah-2

Re: Can I price a convertible bond using QuantLib?

thanks Luigi

Pavan

On Fri, Jul 19, 2013 at 3:01 PM, Luigi Ballabio <[hidden email]> wrote:

Hi Pavan,
you can have a look inside the ql/experimental/convertiblebonds
folder. It might not use the model you're looking for, though (it
uses a binomial tree for the equity process, but doesn't model the
dynamics of the rates) so check it first.
Otherwise, you can go the other route and look at the classes in the
ql/experimental/callable folder. They implement callable bonds with a
trinomial tree for the short-rate dynamics, but you'll have to add the
convertibility in some way.

Hope this helps,
Luigi

On Thu, Jul 18, 2013 at 10:49 PM, Pavan Shah <[hidden email]> wrote:
> I am looking for a Convert pricer that accomodates call provisions.
> I could write code for a Crank Nicholson scheme or a trinomial tree but I am
> hoping quantlib has something already.
>
> can someone point me in the right direction (functions, classes in
> QuantLib)?
>
> thanks
> Pavan
>

> ------------------------------------------------------------------------------
> See everything from the browser to the database with AppDynamics
> Get end-to-end visibility with application monitoring from AppDynamics
> Isolate bottlenecks and diagnose root cause in seconds.
> Start your free trial of AppDynamics Pro today!
> http://pubads.g.doubleclick.net/gampad/clk?id=48808831&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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Pavan Shah-2

Re: Can I price a convertible bond using QuantLib?

Hi Luigi,

I looked through the folder. There doesn't seem to be much there in terms of a complete convert pricer.

Should we expect a refined/revised convert pricer in QuantLib in the future?

Alternatively, do you know any other tools/packages out there that can accommodate some of the common features when pricing a convert?

I have looked at Matlab. I might have to go that route.

thanks

Pavan

On Sat, Jul 20, 2013 at 1:59 PM, Pavan Shah <[hidden email]> wrote:

thanks Luigi

Pavan

On Fri, Jul 19, 2013 at 3:01 PM, Luigi Ballabio <[hidden email]> wrote:

Hi Pavan,
you can have a look inside the ql/experimental/convertiblebonds
folder. It might not use the model you're looking for, though (it
uses a binomial tree for the equity process, but doesn't model the
dynamics of the rates) so check it first.
Otherwise, you can go the other route and look at the classes in the
ql/experimental/callable folder. They implement callable bonds with a
trinomial tree for the short-rate dynamics, but you'll have to add the
convertibility in some way.

Hope this helps,
Luigi

On Thu, Jul 18, 2013 at 10:49 PM, Pavan Shah <[hidden email]> wrote:
> I am looking for a Convert pricer that accomodates call provisions.
> I could write code for a Crank Nicholson scheme or a trinomial tree but I am
> hoping quantlib has something already.
>
> can someone point me in the right direction (functions, classes in
> QuantLib)?
>
> thanks
> Pavan
>

> ------------------------------------------------------------------------------
> See everything from the browser to the database with AppDynamics
> Get end-to-end visibility with application monitoring from AppDynamics
> Isolate bottlenecks and diagnose root cause in seconds.
> Start your free trial of AppDynamics Pro today!
> http://pubads.g.doubleclick.net/gampad/clk?id=48808831&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

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Luigi Ballabio

Re: Can I price a convertible bond using QuantLib?

Hi Pavan,
I'm afraid that's what we have until someone contributes a revised pricer.
What features are you missing?

Luigi

On Wed, Aug 7, 2013 at 6:36 PM, Pavan Shah <[hidden email]> wrote:

> Hi Luigi,
>
> I looked through the folder. There doesn't seem to be much there in terms
> of a complete convert pricer.
> Should we expect a refined/revised convert pricer in QuantLib in the future?
>
> Alternatively, do you know any other tools/packages out there that can
> accommodate some of the common features when pricing a convert?
> I have looked at Matlab. I might have to go that route.
>
> thanks
> Pavan
>
>
>
> On Sat, Jul 20, 2013 at 1:59 PM, Pavan Shah <[hidden email]> wrote:
>>
>> thanks Luigi
>>
>> Pavan
>>
>>
>> On Fri, Jul 19, 2013 at 3:01 PM, Luigi Ballabio <[hidden email]>
>> wrote:
>>>
>>> Hi Pavan,
>>> you can have a look inside the ql/experimental/convertiblebonds
>>> folder. It might not use the model you're looking for, though (it
>>> uses a binomial tree for the equity process, but doesn't model the
>>> dynamics of the rates) so check it first.
>>> Otherwise, you can go the other route and look at the classes in the
>>> ql/experimental/callable folder. They implement callable bonds with a
>>> trinomial tree for the short-rate dynamics, but you'll have to add the
>>> convertibility in some way.
>>>
>>> Hope this helps,
>>> Luigi
>>>
>>>
>>>
>>> On Thu, Jul 18, 2013 at 10:49 PM, Pavan Shah <[hidden email]>
>>> wrote:
>>> > I am looking for a Convert pricer that accomodates call provisions.
>>> > I could write code for a Crank Nicholson scheme or a trinomial tree but
>>> > I am
>>> > hoping quantlib has something already.
>>> >
>>> > can someone point me in the right direction (functions, classes in
>>> > QuantLib)?
>>> >
>>> > thanks
>>> > Pavan
>>> >
>>> >
>>> > ------------------------------------------------------------------------------
>>> > See everything from the browser to the database with AppDynamics
>>> > Get end-to-end visibility with application monitoring from AppDynamics
>>> > Isolate bottlenecks and diagnose root cause in seconds.
>>> > Start your free trial of AppDynamics Pro today!
>>> >
>>> > http://pubads.g.doubleclick.net/gampad/clk?id=48808831&iu=/4140/ostg.clktrk
>>> > _______________________________________________
>>> > QuantLib-users mailing list
>>> > [hidden email]
>>> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>> >
>>>
>>>
>>>
>>> --
>>> <https://implementingquantlib.blogspot.com>
>>> <https://twitter.com/lballabio>
>>
>>
>

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

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