Hi Dagur,
you may have a look at Examples / Gaussian1dModels which demonstrates
how to price such bonds in the GSR model. Basically it uses swaps and
swaptions reinterpreted as bonds and call rights of bonds thanks to
additional cash flows for notional payments, nulling unused legs,
using rebated exercises to account for the additional flows on early
redemption of bonds and a credit-linked feature in the pricing engines
to include the credit spread information into pricing.
This way one does not have to maintain everything for bonds and
derivatives, since from the pricing perspective they are similar. For
example you can use the adapted calibration baskets for amortizing
swaptions as described in Piterbarg, Interest Rate Modeling, 19.4
("representative basket approach") for bonds with inclusion of the
credit spread. These are available in BasketGeneratingEngine in
QuantLib (see the example mentioned above).
Best regards
Peter
On 17 December 2015 at 10:30, Dagur Gunnarsson <
[hidden email]> wrote:
> Hi,
>
> Is there anyway to model a Callable AmortizingFixedRateBond in Quantlib?
> I have seen the CallableFixedRateBonds but there is no notionals
> parameter as for the AmortizingFixedRateBonds...
>
> Would it be possible to add the Cashflows to the bond after it is instanciated ?
>
> regards
> Dagur G
>
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