Hi John,
I haven't read neither Ayache, Forsyth, and Vetzal nor Lucy Li's master's thesis, however the fact that we use a different numerical method should not worry you. What really matters is the stochastic process used (aka: model). In the example we use a Black Scholes Merton Process.
Hope this help,
François
-----Original Message-----
From:
[hidden email] [mailto:
[hidden email]] On Behalf Of John Maiden
Sent: mercoledì 18 aprile 2007 23.46
To:
[hidden email]
Subject: [Quantlib-users] Convertible Bonds
I've been playing with the Convertible Bond class, and have a question about its
implementation. This is probably due more to my lack of knowledge of the finance
than anything else.
The convertible bond model in ConvertibleBonds.cpp says it uses the
Tsiveriotis-Fernandes method, but the implementations of the model (from what
I've read in Ayache, Forsyth, and Vetzal, and Lucy Li's master's thesis (see
Wikipedia on Convertible bonds for the link)) all use a grid of stock prices and
times to determine the PDEs. The bond pricing engine in QuantLib seems to use
binomial trees to determine the price. Can anyone explain the discrepancy?
-------------------------------------------------------------------------
This SF.net email is sponsored by DB2 Express
Download DB2 Express C - the FREE version of DB2 express and take
control of your XML. No limits. Just data. Click to get it now.
http://sourceforge.net/powerbar/db2/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users-------------------------------------------------------------------------
This SF.net email is sponsored by DB2 Express
Download DB2 Express C - the FREE version of DB2 express and take
control of your XML. No limits. Just data. Click to get it now.
http://sourceforge.net/powerbar/db2/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
