Re: FDM Framework and Convertible Bond

Posted by John Maiden on May 10, 2011; 12:32pm
URL: http://quantlib.414.s1.nabble.com/FDM-Framework-and-Convertible-Bond-tp32p34.html

Thank you for the reference, I am familiar with the paper.

I get the general idea, my question is specifically where in the FDM framework I
would incorporate this non-linear term. I assume it would go into the evolve
function, where I would just add in this final term.


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