http://quantlib.414.s1.nabble.com/Can-I-price-a-convertible-bond-using-QuantLib-tp14452p14491.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 down to code-level detail for bottlenecks, with <2% overhead.
Download for free and get started troubleshooting in minutes.