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numbersix
Posts: 474
Joined: July 23rd, 2001, 2:33 pm

Tsioveriotis & Fernandes Convertible bond model....help!

December 1st, 2004, 7:21 am

Why would you implement the Tsiveriotis-Fernandes CB model when it is inconsistent in its treatment of default?See the attached paper for an explanation. (By the way, the paper elaborates the numerical implementation of T&F as well as another model).
Attachments
AFV_jderiv.zip
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rowntree
Posts: 10
Joined: March 11th, 2004, 3:56 pm

Tsioveriotis & Fernandes Convertible bond model....help!

December 1st, 2004, 3:25 pm

Hi Val,We recently set up a FD convertible pricer based on the Ayache, et al papers. Unfortunately, we have found that convergence is too slow to make it practical (so we set up a trinom tree instead, but it has less flexibility). Your comment about needing 1-2 additional iterates intrigued me. We used a successive over-relaxation technique, needing hundreds of iterations to converge. What were you iterating for your 1-2 iterates?Also, I'm not at all sure our problem lies in the iterations, but possibly in the grid size, as we needed a much larger grid than 100x200 to get convergence (for the 30-year bond we were using as our test case). Do you use even step sizes in stock price (or log stock price), or some method to concentrate the steps? Any other advice?Thanks in advance
 
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Val
Posts: 414
Joined: June 5th, 2002, 12:51 pm

Tsioveriotis & Fernandes Convertible bond model....help!

December 4th, 2004, 9:38 am

Let me give you fews hints rowntree.First of all you don't need to apply projected SOR method at each time step. Apply it only at call/put dates.And when you apply SOR use as starting point in your iterations the approximate price using LCP method and not the value at the previous time step. Another improvement, add a finer time step after each event and after few time steps switch back to your intial step size.I hate using trees it's combersome. FD methods are flexible enough to get your job done.Many other improvements can be done quite easily.
 
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rowntree
Posts: 10
Joined: March 11th, 2004, 3:56 pm

Tsioveriotis & Fernandes Convertible bond model....help!

December 5th, 2004, 4:02 am

Thanks a lot Val. We will start trying out some of those suggestions on Monday. Appreciate the help.
 
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Pouillot
Posts: 20
Joined: February 17th, 2003, 8:22 am

Tsioveriotis & Fernandes Convertible bond model....help!

February 22nd, 2005, 12:29 am

Could someone give me a link with the tiveriotis-fernandes paper (can't find on the net, suppose it's because it comes from journal of fixed income) . I 'm aware of the other new model(Ayache,...) but i would need the TF paper historical backround on the subject .Thanks in advance to the good men who could help me.
 
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hateeque
Posts: 21
Joined: October 7th, 2004, 2:43 pm

Tsioveriotis & Fernandes Convertible bond model....help!

September 10th, 2006, 1:38 pm

I wonder if anyone can help me with my implementation of Tsiveriotis and Fernandes (98) model in VBA. I have used Crank Nicolson timestepping and SOR scheme to solve backward induction. Your feedback will be much appreciated.
 
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hateeque
Posts: 21
Joined: October 7th, 2004, 2:43 pm

Tsioveriotis & Fernandes Convertible bond model....help!

September 10th, 2006, 3:02 pm

Sorry, Here is the file attached.
 
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hateeque
Posts: 21
Joined: October 7th, 2004, 2:43 pm

Tsioveriotis & Fernandes Convertible bond model....help!

September 10th, 2006, 3:04 pm

Attachments
TF-AFV.zip
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SemiMartingale
Posts: 27
Joined: March 18th, 2008, 10:40 am

Tsioveriotis & Fernandes Convertible bond model....help!

March 19th, 2008, 3:08 pm

In this article, there is a detailed algorithm for the TF model (at the end of the article). It might help you I think. He took rg = r in this case and the recovery rate is equal to 0.http://www.cs.uwaterloo.ca/~paforsyt/convert.pdf
 
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wisesummer
Posts: 26
Joined: September 27th, 2007, 10:29 pm

Tsioveriotis & Fernandes Convertible bond model....help!

March 26th, 2009, 3:46 pm

QuoteOriginally posted by: ValI liked this paper. However, it's still unclear how one will jointly calibrate this model to equity smile and CDS in order to get a consistent local vol surface....It has been 6 years, are there any new papers dealing with these issues now?
 
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bakait
Posts: 38
Joined: January 11th, 2010, 4:34 am

Tsioveriotis & Fernandes Convertible bond model....help!

September 29th, 2010, 11:46 am

does anybdy has the implementation of the Ayache model... either in excel VBA or Matlab
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