How to calculate OAS in QuantLib?

[Le Shi]

Can I use QuantLib to calculate Option Adjusted Spread (OAS) duration and convexity of Callable Fixed Rate Bond? Where is the functions?

 

I already finished bond.cpp and cashflows.cpp, but couldn’t find it.

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[Luigi Ballabio]

On Wed, 2010-11-17 at 16:31 -0600, Le Shi wrote:
> Can I use QuantLib to calculate Option Adjusted Spread (OAS) duration
> and convexity of Callable Fixed Rate Bond? Where is the functions?

They're not yet available, as far as I know.

Luigi


--

Though this be madness, yet there is method in't.
-- Hamlet, Act II, scene II



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