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Where I can find numerical implementation (in any programming language) of convertible bonds pricer based on the following article:

E. Ayache, P. A. Forsyth, K. R. Vetzal, "The Valuation of Convertible Bonds With Credit Risk"

For more details I refer also to this topic: Link

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  • For what its worth the implementation requested would appear to be an application of the crank-nicholson discretisation method to the numerical method (A) described on page 23 within the conclusion section. Also possibly an extension to the supplementary method (A.2) – Attack68 Oct 13 at 6:09
  • The model is old so I believe it has already been implemented in some pricing libraries (R, Python, C++, etc). Maybe somebody knows where i can find it. Thanks for your input. – B_B Oct 13 at 7:36

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