Comments (6)
Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.
from quantlib.
Hi @zhtangsh, I don't think this feature is supported at the moment.
I also want to mention an alternative implementation of convertible bond instrument with arguably richer / more realistic set of features and more standard finite-difference pricing engine in ORE. The particular feature you mention is not yet supported in the pricing engine either although we already have it in the trade data model
We might add the implementation of the feature in the engine in one of the upcoming releases. The instrument and pricing engine might also be migrated to QuantLib in the future.
from quantlib.
Hi @zhtangsh, I don't think this feature is supported at the moment.
I also want to mention an alternative implementation of convertible bond instrument with arguably richer / more realistic set of features and more standard finite-difference pricing engine in ORE. The particular feature you mention is not yet supported in the pricing engine either although we already have it in the trade data model
We might add the implementation of the feature in the engine in one of the upcoming releases. The instrument and pricing engine might also be migrated to QuantLib in the future.
Hi @pcaspers , thank you for quick reply and confirmation of this feature. I'll look through the quoted link.
Can I ask for confirmation of another feature?
- From 2rd to 4th year, any time price is above the trigger(1.2), then we do the soft call, where the call date is not pre determined.
I'm trying to parse a list of SoftCallability, which is constructed by all dates between 2rd and 4th year, to CallabilitySchedule object.
date_list = all_dates_between_2rd_and_4th_year() # some magic code to extract date from schedule
callability_schedule = ql.CallabilitySchedule()
call_price = 104
call_trigger = 1.2
for date in date_list:
callability_price = ql.BondPrice(call_price, ql.BondPrice.Clean)
callability_schedule.append(ql.SoftCallability(callability_price, date, call_trigger))
Does it make sense?
from quantlib.
I have not worked with the convertible bond in QuantLib a lot, but my impression is that you have to set up each call date separately, i.e. for an American call (as it typically occurs in convertible bonds) you have to set up a call on each business day in the call period.
from quantlib.
This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.
from quantlib.
This issue was automatically closed because it has been stalled for two weeks with no further activity.
from quantlib.
Related Issues (20)
- Weird compile error with GCC 13.1 HOT 1
- Release tag for 1.31 is "v1.31" rather than "QuantLib-v1.31" HOT 2
- usage of ordered / unordered sets to store observers, observables HOT 9
- introduce direct pass through of observable notifications HOT 28
- unknown file format for test-suite/libql_unit_test_main.a HOT 3
- make cashflow lazy HOT 1
- Add MixedLogLinearMonotonicLogCubicNaturalSpline interpolation method HOT 2
- Pricing Bonds with face values other than $100 HOT 2
- Modify number of internal interopolation iterations on PiecewiseNaturalLogCubicDiscount HOT 3
- Swap floating leg basis-point sensitivity includes coupons based on cashflow date - should it be fixing date? HOT 6
- Automatic Registration of Unit Tests Using Boost Test HOT 12
- NormalDistribution: missing "sample_type" HOT 7
- Swaption never caches results when calculated with BlackSwaptionEngine HOT 7
- Segfault on multi-threaded CSharp app with QuantLib-1.31.1 (SWIG) HOT 11
- Update conda version HOT 3
- Bad interpolation ql.ZeroCurve HOT 6
- Inconsistent currency formatting HOT 4
- Exploring Fuzz-Testing for QuantLib HOT 4
- Mis calculation of accrued amount for bonds HOT 7
Recommend Projects
-
React
A declarative, efficient, and flexible JavaScript library for building user interfaces.
-
Vue.js
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
-
Typescript
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
-
TensorFlow
An Open Source Machine Learning Framework for Everyone
-
Django
The Web framework for perfectionists with deadlines.
-
Laravel
A PHP framework for web artisans
-
D3
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
-
Recommend Topics
-
javascript
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
-
web
Some thing interesting about web. New door for the world.
-
server
A server is a program made to process requests and deliver data to clients.
-
Machine learning
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
-
Visualization
Some thing interesting about visualization, use data art
-
Game
Some thing interesting about game, make everyone happy.
Recommend Org
-
Facebook
We are working to build community through open source technology. NB: members must have two-factor auth.
-
Microsoft
Open source projects and samples from Microsoft.
-
Google
Google ❤️ Open Source for everyone.
-
Alibaba
Alibaba Open Source for everyone
-
D3
Data-Driven Documents codes.
-
Tencent
China tencent open source team.
from quantlib.