I need to compute the OAS for a callable bond and to price a convertible bond. Does QuantLib provide functions for these? Examples would be greatly appreciated.
Thanks.
Zheng
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I don't think QuantLib has that functionality.
But it is not hard to implement by modifying the discount factor
in the yield calculation function.
In fact, OAS might be more important
and useful than yield.
I need to compute the OAS for a callable bond and to price
a convertible bond. Does QuantLib provide functions for these? Examples
would be greatly appreciated.
Thanks.
Zheng
Love cheap thrills? Enjoy PC-to-Phone calls
to 30+ countries for just 2¢/min with Yahoo!
Messenger with Voice.
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