Hi everyone, I’m working on my Master’s Degree thesis about the pricing of C.B. trying to do that with “R”. I read the paper “RQuantLib: Interfacing QuantLib from R” and now I’m matching several market price (taken from Bloomberg or Deutsche Bank database) with “R” output. Could you help me to understand the parameters within these functions? Let me show you one of the problem that I met in the attached files. As you could see in the image, just shifting the Conv.Ratio from 1 to 10 all the curves in the plot get flattened.
First <http://imageshack.us/photo/my-images/19/cr10plot.png/> Second <http://imageshack.us/photo/my-images/641/cr1plot.png/> Script <http://imageshack.us/photo/my-images/801/cr1m.png/> Best regards. Gabriele Carrarini BTG Pactual London Berkeley Square House -- View this message in context: http://r.789695.n4.nabble.com/RQuantlib-Convertible-Bond-Pricing-tp4650027.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
