[Rquantlib-devel] convertible bond pricing engine selection

[Dirk Eddelbuettel]

Hi Tyler,

On 2 December 2014 at 20:46, Tyler Beason wrote:
| Hello,
| 
| I have noticed that QuantLib has about 10^2 (kidding here)

That's a lower bound :)

| BinomialConvertibleEngine processes (TF, JarrowRudd, CRR, etc), but that the
| ConvertibleBond functions in RQuantLib just mention that they use
| the BinomialConvertibleEngine. I am first and foremost just wondering which
| underlying process is used when that is called in RQuantLib, and secondly
| wondering if it is possible to make that an optional input.

Good point. I'd be open to generalizing this. Do you want to take a careful
stab at that?  Feel free to ask here, there are a few knowledgeable people
lurking.
 
| Hope to contribute in the future, still just getting my feet wet at this point.

Sounds good. We all started with simple things.

Dirk, who just arrived in Europe for QuantLib workshop'ing on Thu and Fri
 
| Thanks,
| Tyler
| 
| Tyler Beason
| Graduate Assistant, Instructional Design & Learning Technologies (IDLT) Ext.
| 2344
| Bradley University Quantitative Finance (MSQF) student
| Check out my quant finance blog! TBeason.com
| Cell: (217) 273-5357
| 
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