[R] RQuantlib - Convertible Bond Pricing

[colaiutachambers]

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.