[R-SIG-Finance] [R] RQuantlib - Convertible Bond Pricing

R. Michael Weylandt michael.weylandt at gmail.com
Mon Nov 19 23:55:48 CET 2012

Forwarding to the appropriate mailing list.


---------- Forwarded message ----------
From: colaiutachambers <gabriele.carrarini at gmail.com>
Date: Mon, Nov 19, 2012 at 11:06 AM
Subject: [R] RQuantlib - Convertible Bond Pricing
To: r-help at r-project.org

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

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