Hi Naoufel,
Welcome to the club.
Looking forward in seeing your implementation, this is a much needed
addition to the QuantLib library.
Best Regards,
Toyin Akin.
>From: Naoufel El Bachir <
[hidden email]>
>To:
[hidden email]
>Subject: [Quantlib-dev] Credit Derivatives
>Date: Tue, 11 Oct 2005 01:00:01 +0100 (BST)
>
>Hi,
>
>I have just subscribed to this mailing list. I am a PhD student in Finance
>working on default correlation modeling with stochastic default
>intensities. I have been learning C++ for the last 2-2.5 years.
>
>I am interested in extending Quantlib for Credit Derivatives. For a start,
>I was thinking about writing code for CDS, term structures of default
>intensities, defaultable bonds, other related stuff, CDS options (Black
>type formula with term structure of default intensities + some short rate
>models for the default intensities...) and CDO tranches. I already have
>some pieces here and there.
>
>I will start working on a proposal next week, and keep you posted on
>progress. Any suggestions or ideas are welcome.
>
>Naoufel
>
>
>
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