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

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

John,
	first of all, thanks for the effort you're putting into this review.

On Fri, 2007-06-22 at 13:49 +0000, John Maiden wrote:
> Two things I noticed about the existing convertible bond model that I think
> needs to be changed:
> 
> 1. All the dividends that are added back to the stock price in
> DiscretizedConvertible are the clean price, and need to be adjusted back at the
> risk free rate. Changes would be:
> - In class DiscretizedConvertible (DiscretizedConvertible.hpp), add a new
> DividendSchedule (I call it dirtyDividends_)
> - In Disposable<Array> ExtendedDiscretizedConvertible::adjustedGrid() const
> (DiscretizedConvertible.cpp), the pointer d is now const
> boost::shared_ptr<Dividend>& d = dirtyDividends_[i];

I'm not sure i follow. Can you send a patch for the above?


> 2. Probabilities in the Tsiveriotis-Fernandes Lattice (tflattice.hpp) that are
> used to weigh the lattice values are fixed, and independent of the tree used.

True---I just applied your fix to the repository.

Later,
	Luigi


-- 

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