<t>I'm working on a PDE solver for a floating coupon bond, and trying to add more functionality to the code. Previously the code did something like:if ( t == Pay Date){Reset the floating coupon rateCalculate the floating coupon value (with gearings and spreads)Pay the coupon}Now I want to be able to...

<t>The code is definitely of questionable quality, but it can be reworked into a usable form. The results are close to what you'd get from Excel. Wasn't looking for something more complicated.The main priority was to find something in .NET. I've seen a lot of this type of code in c++, but wanted to ...

Ok, I think I've found it. For those that are interested, go to http://www.a1vbcode.com/app-3220.asp. I highly recommend that you turn Option Strict On if you use the code, since some of the code needs to be cleaned up.

Looking for open source code/freeware package that allows me to fit a polynomial curve to a series of points (no more than 200 data points) in .NET. Any suggestions?

Yeah, but given a market like convertible bonds, where many are unrated and/or illiquid, any little bit helps.

Tried them, wasn't impressed. Got too much attitude for little jobs offered.

<t>I agree that Kynex has good data, but I don't trust the spreads/vols they provide; they lack diversity (and I don't know how they are derived). For a collection of 40 securities, you only get about 15 different spread values. But I definitely think they are better than Bloomberg, and do a decent ...

<t>Yes, Kynex uses the risky rate, but I thought the PDE that they use handles any discounting issues. I'm not satisfied with their flat vol assumption or their price dependent variable credit spread (I'd like it to be more transparent).So you recommend Monis? If not, what do you recommend?In the en...

<t>If you're looking at stuff like that, then you can definitely download it at one time. Also, I don't think you'll reach any data limit issues. I download more than that with no problem.I have to filter all the data I get from Bloomberg. Sometimes there is just bad data that no one has caught. Oth...

What type of data are you downloading? Depending on what you're looking for, there will be ways to speed the process up. I've requested all the daily trade records for 600 stocks, and didn't reach a limit. I've never heard of data limits, but that doesn't mean they don't exist.

<t>I've used the API for a couple of months now, and have not reached any data limits yet. I can get data for 1000 securities and 10 fields at one time with no problem, though sometimes it is a little slow. As for grouping data together, I wouldn't request each field one at a time, since that would ...

I mean that you won't match market prices if you just model a convertible bond as a straight bond plus a call option, where you get the option price from BS. I'm agreeing with what you said previously, in that you need a tree method or a PDE.

You need a lot more than Black-Scholes to evaluate a convertible bond (I assume that you're thinking of it as a bond + call option? Not exactly right). If you can only use Excel, then this book might be a good resource:Pricing Convertible Bonds

<t>I'm making a guess here, but I'll try and come up with an answer to both your questions. This seems to be a general bond question rather than a CB specific question.Quote some ctys show me that i can sell protection on CDS on convertible bond. maturity is matching the CB's put date (let say's, pu...

<t>The biggest difference is that you'd have two different defaults to worry about. Depending on how you model it, there would be two different spreads to worry about, and the bond issuer could go bankrupt at a different time than the stock issuer (though there is probably some correlation between t...