Hi Pavan,
you can have a look inside the ql/experimental/convertiblebonds
folder. It might not use the model you're looking for, though (it
uses a binomial tree for the equity process, but doesn't model the
dynamics of the rates) so check it first.
Otherwise, you can go the other route and look at the classes in the
ql/experimental/callable folder. They implement callable bonds with a
trinomial tree for the short-rate dynamics, but you'll have to add the
convertibility in some way.
Hope this helps,
Luigi
> ------------------------------------------------------------------------------
On Thu, Jul 18, 2013 at 10:49 PM, Pavan Shah <[hidden email]> wrote:
> I am looking for a Convert pricer that accomodates call provisions.
> I could write code for a Crank Nicholson scheme or a trinomial tree but I am
> hoping quantlib has something already.
>
> can someone point me in the right direction (functions, classes in
> QuantLib)?
>
> thanks
> Pavan
>
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