On Tue, 2009-01-20 at 12:47 -0800, vilhauer wrote:
> I am interested to know if any work has been done to implement a
> finite-difference method approach to model convertible bonds. I searched
> the archives and it looks like Joseph Wang might have been working on
> something in 2005?
No, at this time there's no finite-difference code for convertibles; the
only available engine uses binomial trees. If you want to look at that,
the instrument is in <ql/instruments/bonds> and the engine in
<ql/pricingengines/hybrid>.
Luigi
--
The first rule of intelligent tinkering is to save all the parts.
-- Paul Erlich
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