Posted by
Smith, Dale (Norcross) on
May 10, 2011; 1:34pm
URL: http://quantlib.414.s1.nabble.com/FDM-Framework-and-Convertible-Bond-tp32p35.html
After reading the design documents and looking at the tutorials as well
as the code over the past month, I would say the most appropriate place
is in evolve.
Thanks,
Dale Smith, Ph.D.
Senior Financial Quantitative Analyst
Risk & Compliance
Fiserv.
107 Technology Park
Norcross, GA 30092
Direct NYC: 212-419-3242
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-----Original Message-----
From: John Maiden [mailto:
[hidden email]]
Sent: Tuesday, May 10, 2011 8:32 AM
To:
[hidden email]
Subject: Re: [Quantlib-users] FDM Framework and Convertible Bond
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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