Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Question-on-convertible-bond-with-discretesdividends-tp6450p6457.html
On Wed, 2009-12-02 at 16:20 +0000, benoit houzelle wrote:
> add a display in the void
> DiscretizedConvertible::applyConvertibility()
> to see what is the first node of the grid (for american exercise) :
>
> And run the ConvertibleBonds.cpp (quantlib example) the result in the
> test file is 37.483 and the spot was 36.00
>
> and 37.483 is spot - Sum(NPV(Div) + Sum(DIV) (see excel file simple
> exemple without calendar adjustment...)
Ok, I see. I was looking in the wrong spot. You're right, dividends are
added back in the DiscretizedConvertible::adjustedGrid() method without
discounting, so it's most probably a bug. May you add discounting,
check that it works as expected, and send a patch? You can do it by
using process_->riskFreeRate(); if I'm not mistaken, the dividend
amounts should be multiplied by discount(dividendTime)/discount(t), is
that correct?
Thanks,
Luigi
--
Things should be made as simple as possible, but no simpler.
-- Albert Einstein
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