Posted by
Luigi Ballabio on
May 28, 2007; 3:46pm
URL: http://quantlib.414.s1.nabble.com/Proposed-change-to-Convertible-Bond-model-tp9499p9509.html
On Thu, 2007-05-24 at 23:27 +0000, John Maiden wrote:
> Working through and trying to understand the convertible bond model...
Yes---apologies for the delay. With regard to your question about how
the instrument drives the calculate() method of the engine, see the
draft documentation I've made available at
<
http://www.compplusplus.com/2007/04/luigi_ballabio__2.html>.
> ...and came up
> with a proposed change. At the moment the model requires fixed cash dividends.
> Proposed change to code would allow user to either choose a fixed cash dividend
> (through using a FixedDividend) or a fixed percent dividend (through using a
> FractionalDividend). Changes would be made to discretizedconvertible.cpp and
> binomialconvertibleengine.hpp.
Unfortunately, it's not so simple. Shifting the grid points by the
amount of the fractional dividends causes the tree to no longer
recombine. Actually, I remember we discussed the issue on the list at
some point, but I don't seem to be able to retrieve the relevant posts.
Does anyone happen to have records of the discussion?
Later,
Luigi
----------------------------------------
feature, n:
A surprising property of a program. Occasionally documented.
To call a property a feature sometimes means the author did not
consider that case, and the program makes an unexpected, though
not necessarily wrong response. See BUG. "That's not a bug,
it's a feature!" A bug can be changed to a feature by
documenting it.
-------------------------------------------------------------------------
This SF.net email is sponsored by DB2 Express
Download DB2 Express C - the FREE version of DB2 express and take
control of your XML. No limits. Just data. Click to get it now.
http://sourceforge.net/powerbar/db2/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev