Hi Erica,
isn’t BK the more general version of BDT? Although I think BDT was originally a discrete-time model, so it’s not exactly the same. Still, probably BK is the closest you can get in QuantLib currently.
Concerning the OAS and effective figures I don’t think they are directly supported, one would need to add small routines on top of the exotic NPV calculation to compute them.
Kind Regards
Peter
> Am 02.05.2016 um 10:37 schrieb Erica <
[hidden email]>:
>
> Hi All,
>
> I'm working on callable bonds and I want to know if it is possible to
> compute Option Adjusted Spread and Effective Duration/Convexity using
> quantlib.
>
> Reading some papers I know that usually the used model is the* 'Black Derman
> and Toy'* model but looking in quantlib I can see that it is not implemented
> yet. (I can find only Hull-White Model and Black-Karasinski model)
>
> Is the BDT model implemented?
>
> If the BDT model is not available, is it possible to use in some way the
> Black Karasinki model instead of the BDT model?
> Whats needs to be changed in order to use the BK model instead of BDT ones?
> Is there any additional Hypotesis that has to be done to use this different
> model?
>
> If someone could provide an example or explain me how to find a solution it
> will be really appreciated.
> Thanks a lot
> Erica
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Option-Adjusted-Spread-BDT-model-tp17430.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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