Luigi,
Any further notice on this? If anyone is developing this at present, I'll wait a bit for a well thought out base class interface - but sometimes it's best just to go with a simple one.
The simplest (I feel) would be one with the basic functions:
virtual QL_Real NpvNoDefault(const Cashflow& Payment, const Date& StartDate, const Date& EndDate) const = 0;
virtual QL_Real NpvGivenDefault(const Cashflow& Payment, const Date& StartDate, const Date& EndDate) const = 0;
You might also want to add another parameter that makes explicit whether a default on the end date is included.
This interface allows for stochastic default-intensity and stochastic interest-rates. I've not worked with firm-value models, so don't know how this interface would hold up. It also specialises for single-name credit - multiple names would require a different interface (
e.g. expected remaining notional for an ITraxx curve).
However, if anyone is working on this and has a better concept, please let me know...
Simon
On 9/26/07, Luigi Ballabio <[hidden email]> wrote:
On Wed, 2007-09-26 at 14:18 +0100, Simon Ibbotson wrote:
> Hi, is there any developer out there planning to contribute a CDS /
> bond curves (using reduced form approach)? I wouldn't want to
> duplicate any work.
There might be a contribution shortly. I don't think that it uses
reduced form approach, but it should at least define a base interface
for the default-probability curve. I'll get back as soon as I know for
sure.
Luigi
--
Use every man after his desert, and who shall scape whipping?
-- Hamlet, Act II, scene II
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