m over n callable convertible bond

[zhtangsh]

Hi there
I'm new to QuantLib and was trying to price a convertible bond with QuantLib.

I saw a example in https://github.com/lballabio/QuantLib/blob/master/Examples/ConvertibleBonds/ConvertibleBonds.cpp, which implements 2 Soft Call in second/fourth year with 1.2 trigger.
However, I'm facing a different soft call situation, say

• From 2rd to 4th year, any m(20) days over n(30) days, price is above the trigger(1.2), then we do the soft call.

Can I implemented this situation with QuantLib? Any help is appreciate.

[boring-cyborg]

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.

[pcaspers]

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

https://github.com/OpenSourceRisk/Engine/blob/master/Docs/UserGuide/tradedata/convertiblebond.tex#L131

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.

[zhtangsh]

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

https://github.com/OpenSourceRisk/Engine/blob/master/Docs/UserGuide/tradedata/convertiblebond.tex#L131

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?

[pcaspers]

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.

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