Re: [Quantlib-dev] Proposed change to Convertible Bond model

[Luigi B. <lui...@gm...>]

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.