XL spread sheet to price convertible bonds?

[Philip Kinlen]

Greetings all,

1: Is there an example excel workbook showing how to use Quantlib to value convertible bonds?

I've got the quantlib example sheets working, though I don't see a convertible bond pricer.
I've also taken a look at the code in QuantLib-1.0\Examples\

ConvertibleBonds\ConvertibleBonds.cpp
However it is not obvious to me how to translate the C++ code into a spread sheet.
Although I see a long list of quantlib functions available in excel (through the xll),
I don't see any that relate to convertible bonds.
2: Is the convertible bond functionality available through the quantlib xll?

If questions such as the above should not be sent to the this mailing list, then I apologize and I'd appreciate it if you could let me know if there is an appropriate email address or forum.

Thanks

Philip Kinlen

Sateek Private Limited
9 Temasek Boulevard
#19-05 Suntec Tower 2
Singapore 038989

Tel:       [phone]
Mobile:  [phone]
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[Kim Kuen Tang]

Philip Kinlen schrieb:
> Greetings all,
>
> 1: Is there an example excel workbook showing how to use Quantlib to
> value convertible bonds?
IMHO no,  since there are functions needed to price convertible bonds
but not exposed to qlxl yet.
>
> I've got the quantlib example sheets working, though I don't see a
> convertible bond pricer.
The class use to price a convertible bond is BinomialConvertibleEngine.
> I've also taken a look at the code in QuantLib-1.0\Examples\
> ConvertibleBonds\ConvertibleBonds.cpp
> However it is not obvious to me how to translate the C++ code into a
> spread sheet.
This should not be a problem. Following the example from link

http://quantlib.org/quantlibaddin/extend_tutorial.html

you are able to expose additional or self-written functions to excel.

I will suggest you to write a function to price a convertible bond in
c++ first. After that you can expose it to excel.

> Although I see a long list of quantlib functions available in excel
> (through the xll),
> I don't see any that relate to convertible bonds.
> 2: Is the convertible bond functionality available through the
> quantlib xll?
>
> If questions such as the above should not be sent to the this mailing
> list, then I apologize and I'd appreciate it if you could let me know
> if there is an appropriate email address or forum.
>
> Thanks
> Philip Kinlen
>
> Sateek Private Limited
> 9 Temasek Boulevard
> #19-05 Suntec Tower 2
> Singapore 038989
>
> Tel:       [phone]
> Mobile:  [phone]
> Fax:      [phone]
> Email: [hidden email] <mailto:[hidden email]>
> www.sateek.com <http://www.sateek.com>
> ------------------------------------------------------------------------
>
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>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>  

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