Re: hi
Locked
Re: hi
 
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Keep in mind, any call requires a time period of call notification. Your scenario implies that the bond will not be called. In your implementation, you probably want to put a period (for example, some callable bonds have 2 weeks of notification requirement). Good luck.
If you don't mind, may I ask you if you have tried to price callable bond with .npv() with a evaluation date just a day before the callable date with option in the money? I had a problem with this because the price it returns me is not capped to the strike even the option is in the money. Appreciate if you can shed some light on this, Xin From: Guowen Han [mailto:[hidden email]] Sent: Tuesday, March 03, 2009 3:43 PM To: Chen, Xin Subject: Re: hi In fact, I had it implemented somewhere else. I am only thinking of improving QuantLib.
Hi, Just saw your reply on Quantlib. Thank you. And I am writing back to see if I can reach you by the email there, as seems you are after the same task as I am. Maybe I can get someone the discuss in the future? Cheers, Xin Chen Portfolio Management and Research TD Asset Management ********************* NOTICE OF CONFIDENTIALITY This communication including any information transmitted with it is intended only for the use of the addressees and is confidential. If you are not an intended recipient or responsible for delivering the message to an intended recipient, any review, disclosure, conversion to hard copy, dissemination, reproduction or other use of any part of this communication is strictly prohibited, as is the taking or omitting of any action in reliance upon this communication. If you receive this communication in error or without authorization please notify us immediately by return e-mail or otherwise and permanently delete the entire communication from any computer, disk drive, or other storage medium. If the above disclaimer is not properly readable, it can be found at www.td.com/legal AVERTISSEMENT DE CONFIDENTIALITE Ce courriel, ainsi que tout renseignement ci-inclus, destiné uniquement aux destinataires susmentionnés, est confidentiel. Si vous n'êtes pas le destinataire prévu ou un agent responsable de la livraison de ce courriel, tout examen, divulgation, copie, impression, reproduction, distribution, ou autre utilisation d'une partie de ce courriel est strictement interdit de même que toute intervention ou abstraction à cet égard. Si vous avez reçu ce message par erreur ou sans autorisation, veuillez en aviser immédiatement l'expéditeur par retour de courriel ou par un autre moyen et supprimer immédiatement cette communication entière de tout système électronique. Si l'avis de non-responsabilité ci-dessus n'est pas lisible, vous pouvez le consulter à www.td.com/francais/legale ________________________________________________________ DTCC DISCLAIMER: This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. If you have received this email in error, please notify us immediately and delete the email and any attachments from your system. The recipient should check this email and any attachments for the presence of viruses. The company accepts no liability for any damage caused by any virus transmitted by this email. ________________________________________________________ DTCC DISCLAIMER: This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. If you have received this email in error, please notify us immediately and delete the email and any attachments from your system. The recipient should check this email and any attachments for the presence of viruses. The company accepts no liability for any damage caused by any virus transmitted by this email. ------------------------------------------------------------------------------ Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA -OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise -Strategies to boost innovation and cut costs with open source participation -Receive a $600 discount off the registration fee with the source code: SFAD http://p.sf.net/sfu/XcvMzF8H _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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