MC mortgage pricing model

[John Mauceri]

I would like to thank all who created this incredible
resource.  I have built many pricing models and hate
reinventing the wheel.  This is my first time using
this library so I apologize ahead of time for dumb
questions for you experienced users.  

 

Having said that, I am building a MC mortgage pricing
model.  I would like to use as much of the library as
possible to keep development time down.  Has anyone
developed a Mortgage Instrument? I was going to use
just one side of a Swaption and set the floating rate
to 0 however, this works for swaps but is not working
for swaptions.

 

Thanks.



__________________________________
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[J Yu]

Hello All,

I'd like to second what John has said, I also find this QuantLib an
invaluable resource!

I started looking into QuantLib short while ago, I haven't got a chance
to do much in detail.  Here are the two questions I have.  Please let me
know what you think:

1. Holiday schedule:  A few days ago a email message was questioning if
12/31/2004 is a holiday.  Here in the US, fixed income market and equity
market would follow a slightly different holiday schedule.  It would be
very helpful if it has the interface to read in an external file with
the format of, ie, currency + YYYYMMDD.  That would avoid the
recompilation of the library for the sake of updating the holiday
schedule.  If this is not yet done, I can put in the piece if you all
agree to the idea.

2. Mortgage instrument:  My first reaction is that it is unlikely
QuantLib
can cover MBS.  However, I'd like to see BOND is supported, regardless
of
fixed coupon, or variable coupon.  If so, we can derive subtypes from
it.


Cheers,


-----Original Message-----
From: [hidden email]
[mailto:[hidden email]] On Behalf Of John
Mauceri
Sent: Wednesday, March 31, 2004 10:10 AM
To: [hidden email]
Subject: [Quantlib-users] MC mortgage pricing model

I would like to thank all who created this incredible
resource.  I have built many pricing models and hate
reinventing the wheel.  This is my first time using
this library so I apologize ahead of time for dumb
questions for you experienced users.  

 

Having said that, I am building a MC mortgage pricing
model.  I would like to use as much of the library as
possible to keep development time down.  Has anyone
developed a Mortgage Instrument? I was going to use
just one side of a Swaption and set the floating rate
to 0 however, this works for swaps but is not working
for swaptions.

 

Thanks.



__________________________________
Do you Yahoo!?
Yahoo! Finance Tax Center - File online. File on time.
http://taxes.yahoo.com/filing.html


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[Luigi Ballabio-2]

On 2004.03.31 17:46, J Yu wrote:
> I'd like to second what John has said, I also find this QuantLib an
> invaluable resource!

Thanks.

> 1. Holiday schedule:  A few days ago a email message was questioning
> if 12/31/2004 is a holiday.  Here in the US, fixed income market and
> equity market would follow a slightly different holiday schedule.  It  
> would be very helpful if it has the interface to read in an external  
> file with the format of, ie, currency + YYYYMMDD.  That would avoid  
> the recompilation of the library for the sake of updating the holiday
> schedule.  If this is not yet done, I can put in the piece if you all
> agree to the idea.

It's a possibility, even though for the calendars in the library, I'd  
rather keep the current rule-based implementation (i.e., 25th December  
of any year is a holiday) rather than enumerating the holidays  
(1900/12/25, 1901/12/25, ... , 2099/12/25.) The latter could be used as  
a resort when the desired calendar is out of date or not available. If  
you were to contribute such a calendar class, I'd be happy to include  
it in the library.

> 2. Mortgage instrument:  My first reaction is that it is unlikely
> QuantLib can cover MBS.  However, I'd like to see BOND is supported,  
> regardless of fixed coupon, or variable coupon.  If so, we can derive  
> subtypes from it.

I agree. But for a number of reasons (probably preposterous, but such  
is life) Nando and I are prevented from adding a Bond class to  
QuantLib. We'd welcome its contribution by someone else, though. It's  
just half a swap after all (hint, hint)

Later,
        Luigi

[Ferdinando M. Ametrano-3]

Hi all

>>1. Holiday schedule:  A few days ago a email message was questioning
>>if 12/31/2004 is a holiday.  Here in the US, fixed income market and
>>equity market would follow a slightly different holiday schedule.

I will add few more calendar in the next days, and they will be based on
the city+exchange.

>>   It
>>would be very helpful if it has the interface to read in an external
>>file with the format of, ie, currency + YYYYMMDD.  That would avoid
>>the recompilation of the library for the sake of updating the holiday
>>schedule.  If this is not yet done, I can put in the piece if you all
>>agree to the idea.

I wouldn't deal with such a file in QuantLib, but I am thinking about
addHoliday(const Date& ), removeHoliday(const Date& ) methods which should
update addedHolidays_ and removedHolidays_ vector data members. Then the
logic could be:

if (isBusinessDay(d)) {
   if (isNotInAddedHolidays(d)) return true;
   else return false;
} else {
   if (isNotInRemovedHolidays(d)) return false;
   else return true;
}

and if you add and remove the same date... well congratulations: you're
just on your own.

ciao -- Nando