Re: Can I price a convertible bond using QuantLib?

Posted by Pavan Shah-2 on Aug 07, 2013; 4:36pm
URL: http://quantlib.414.s1.nabble.com/Can-I-price-a-convertible-bond-using-QuantLib-tp14452p14485.html

Hi Luigi,

I looked through the folder.  There doesn't seem to be much there in terms of a complete convert pricer.

Should we expect a refined/revised convert pricer in QuantLib in the future?

Alternatively, do you know any other tools/packages out there that can accommodate some of the common features when pricing a convert?

I have looked at Matlab.  I might have to go that route.

thanks

Pavan

On Sat, Jul 20, 2013 at 1:59 PM, Pavan Shah <[hidden email]> wrote:

thanks Luigi

Pavan

On Fri, Jul 19, 2013 at 3:01 PM, Luigi Ballabio <[hidden email]> wrote:

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
>

> ------------------------------------------------------------------------------
> See everything from the browser to the database with AppDynamics
> Get end-to-end visibility with application monitoring from AppDynamics
> Isolate bottlenecks and diagnose root cause in seconds.
> Start your free trial of AppDynamics Pro today!
> http://pubads.g.doubleclick.net/gampad/clk?id=48808831&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>



--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
Get 100% visibility into Java/.NET code with AppDynamics Lite!
It's a free troubleshooting tool designed for production.
Get down to code-level detail for bottlenecks, with <2% overhead.
Download for free and get started troubleshooting in minutes.
http://pubads.g.doubleclick.net/gampad/clk?id=48897031&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users