Re: Question on convertible bond (with discretesdividends)

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Question-on-convertible-bond-with-discretesdividends-tp6450p6454.html

On Thu, 2009-12-10 at 15:10 +0000, benoit houzelle wrote:
>         Ps : for information the model used by Quantlib is not exactly
>         the
>         Tsiveriotis-Fernandes, it "seems" to be the Goldman Sachs
>         Model (it is quite similar, it is exactely the same with a
>         flat riskfree rate and without credit spread)
>

I see. We might want to rename it then.

Luigi


--

The Feynman Problem Solving Algorithm:
1) Write down the problem.
2) Think very hard.
3) Write down the solution.



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