Re: [Quantlib-dev] callable bonds

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

On Fri, 2008-03-07 at 11:56 -0800, tibbar wrote:
> Could anyone give me some ideas of how to price callable bonds in quantlib?
> 
> Bond features are:
> 
> - initial deferred period where the bond is not callable
> - seperate strike price for exercise in each remaining year of the bond's
> life.
> 
> I've seen some discussions that the convertible bond class should be used,
> but as a newbee I'm a little intimidated by the quantlib terminology.

As already pointed out, the ConvertibleBond class is not the right one
to use.  Instead, I would start from the Swaption class (together with
its TreeSwaptionEngine) and see how it works. You can copy the engine
and modify it so that it takes into account a single sequence of cash
flows, instead of two legs. Feel free to write to the list if you need
any help in understanding the Swaption or TreeSwaptionEngine class.

Later,
	Luigi


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