Finite difference method for convertible bonds?

Posted by vilhauer on
URL: http://quantlib.414.s1.nabble.com/Finite-difference-method-for-convertible-bonds-tp8909.html

Hi -

      I am interested to know if any work has been done to implement a finite-difference method approach to model convertible bonds.  I searched the archives and it looks like Joseph Wang might have been working on something in 2005?  In any case, I would appreciate any help for pointing me in the right direction for sample code for an FD approach for convertibles, or contacts for someone who could do the same.  

Thanks very much in advance for any help.