Convertible bond class

[Joseph Wang]

Hi all,

I've posted a copy of a convertible bond class that tboafo wrote on

http://wiki.quantlib.org/twiki/bin/view/Quantlib/ConvertibleBonds

I was wondering if there were any comments on the class before it gets
checked in.....

[Luigi Ballabio]

On 03/25/05 06:34:29, Joseph Wang wrote:
>
> I've posted a copy of a convertible bond class that tboafo wrote on
>
> http://wiki.quantlib.org/twiki/bin/view/Quantlib/ConvertibleBonds
>
> I was wondering if there were any comments on the class before it gets
> checked in.....

Yes, there are :)
I posted my comments on the same page.

Later,
        Luigi

----------------------------------------

A little inaccuracy sometimes saves tons of explanation.
-- H.H. Munro, "Saki"

[Xavier.Abulker]

T&F are using a growth rate of the stock, will you assume this is the same as the risk free rate?
You're using the Conversion price  = par value of convertible bond / conversion ratio as an input parameter,
I don't see this Conversion price to be one element which define the bond (in Bloomberg), this is more the "par value of convertible bond"
Where is the underlying stock price in ConvertibleBond()?
It looks like Ayache and Forsyth  are making big waves in noting inconsistencies in the T&F model.
I can't say for the moment if these remarks can really happen in the real world  or if this is just a way to sell Ito33 but it's maybe a good idea to put effort on the last Ayache&Forsyth since it does add complexity to your framework.
Thank you for your work, it looks very promising
Xavier  

Joseph Wang <[hidden email]> Sent by: [hidden email] 25/03/2005 06:34

To:        [hidden email]         cc:        [hidden email], Luigi Ballabio <[hidden email]>         Subject:        [Quantlib-users] Convertible bond class

Hi all,

I've posted a copy of a convertible bond class that tboafo wrote on

http://wiki.quantlib.org/twiki/bin/view/Quantlib/ConvertibleBonds

I was wondering if there were any comments on the class before it gets
checked in.....




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Toute utilisation ou diffusion non autorisee est interdite. 
Tout message electronique est susceptible d'alteration. 
La FIMAT et ses filiales declinent toute responsabilite 
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