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

[John M. <jwm...@ya...>]

Luigi-

     In DiscreteConvertible there is a protected array called dividendValues_.
It's used once to compute the present value of the dividends, but is not used
again. The code below goes into the constructor for DiscreteConvertible:

//existing code
dividendValues_ = Array(arguments_.dividends.size(), 0.0);

boost::shared_ptr<GeneralizedBlackScholesProcess> process =
boost::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(
     arguments_.stochasticProcess);
QL_REQUIRE(process, "Black-Scholes process required");

Date settlementDate = process->riskFreeRate()->referenceDate();

for (Size i=0; i<arguments_.dividends.size(); i++) {
     if (arguments_.dividends[i]->date() >= settlementDate) {
          dividendValues_[i] =
               arguments_.dividends[i]->amount() *
               process->riskFreeRate()->discount(
               arguments_.dividends[i]->date());
     }
}

//load in a schedule of dirty dividend prices
for (Size i=0; i<arguments_.dividends.size(); i++) {
dirtyDividends_.push_back(
     boost::shared_ptr<Dividend>(new FixedDividend(dividendValues_[i], 
     arguments_.dividends[i]->date())));
}