convertible bond class

[Adjriou Belak]

Hi,

 

I wanted to know if somebody made a convertible bond class ?

 

Thanks a lot for your help !!

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[Luigi Ballabio]

On 06/20/2005 10:28:55 AM, Adjriou Belak wrote:
>
> I wanted to know if somebody made a convertible bond class ?

There's someone working on it. Are you interested in joining efforts  
with them?

Later,
        Luigi

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Use every man after his desert, and who shall scape whipping?
-- Hamlet, Act II, scene II

[Joseph Wang]

Hi Adjriou,

Sorry if this is a duplicate.

One thing that you could look at that would be very useful is to create
a unified framework for events such as dividend schedules and
callibility schedules.  Take a look at the convertible bond class and
then the vanilla option engines and then schedule.hpp.  There are places
where the code to store scheduled events should be unified.  If you can
think about the problem and lead some discussion online, this will free
me up to focus on integrating the convertible bond class with the option
PDE code.

One other thing that you might want to think about is how we are
representing dividends.  There seems to be a problem in that the
dividends are associated with options rather than with the stock that
underlies the option.  I think this becomes a big problem with a
convertible bond where you want to distinguish the coupon payouts from
the bond with the dividend payments of the stock that underlies the bond.