Hi Luigi,
I did not get your reply for some reason, so I have subscribed to
developers mailing list and
I am resending my previous e-mail.
I want to do some further Quantlib development on the following:
1) extend the convertible bond engine to include discrete
dividends. I have an idea which involves recursion but which is
okay if you have program in a non OO approach, but in Quantlib where its
strongly OO it may be a bit tricky but essentially we would need to construct a
separate tree for each dividend date work out the call values and compare with
early exercise of (adjusted spot by divided -strike) and eventually all these
vector of call values become the call values of the previous dividend date which
in a way will join the separate trees. For each of the separate trees you
may need to store or apply call or putable features, coupon payments
2) extend the convertible bond engine to allow cater for partial recovery
of bond
and stock price going to 0 or partial recovery of stock if there is a
default.
3) price Mortgage Backed Security. In the case of the MBS, I am
trying to work out
how a hullwhite short rate model can be modelled using Monte Carlo in
Quantlib. Its not
very clear how the dynamics of the short rate process can be passed to
Monte Carlo class.
If it was a stock process then fine.
Regards
Theo
Locked
