Re: Proposed change to Convertible Bond model
Posted by
John Maiden on
May 31, 2007; 12:30pm
URL: http://quantlib.414.s1.nabble.com/Proposed-change-to-Convertible-Bond-model-tp9499p9506.html
Does anyone know the purpose of the Soft Callability class? It's defined in
convertiblebond.hpp and implemented in discretizedconvertible.cpp. I'm asking
because as far as I know, call triggers are typically tied to a period of time,
e.g. stock price above 120% for 20 out of 30 days. In its implementation in
QuantLib, it simply acts as a potential additional call at each node, and thus
inflates the overall price of the bond.
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