Re: [Quantlib-dev] Again with the Convertible Bonds

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

On Wed, 2007-08-15 at 12:32 +0000, John Maiden wrote:
> For those that are interested, this is a potential patch for an issue
> I've found
> with the Convertible Bond classes. Basically the weights that are
> being assigned
> to calculate the discounting rate in
> TsiveriotisFernandesLattice::stepback skew
> the results for high credit spreads, so that a callable convertible
> bond will be
> more expensive than an equivalent non-callable convertible bond. See
> "More More
> More Convertible Bonds" in gmane.comp.finance.quantlib.user for more
> details.

Thanks John,
	I'll have a look at your patch as soon as I get some time.

Later,
	Luigi


-- 

The most exciting phrase to hear in science, the one that heralds new 
discoveries, is not "Eureka!" but "That's funny..." 
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