Re: [Quantlib-dev] Finite difference method for convertible bonds?

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

On Tue, 2009-01-20 at 12:47 -0800, vilhauer wrote:
>       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?

No, at this time there's no finite-difference code for convertibles; the
only available engine uses binomial trees.  If you want to look at that,
the instrument is in <ql/instruments/bonds> and the engine in
<ql/pricingengines/hybrid>.

Luigi


-- 

The first rule of intelligent tinkering is to save all the parts. 
-- Paul Erlich