QuantLib › quantlib-dev

Quantlib: Mortgage Backed Securities

Classic

List

Threaded

3 messages Options

nriyait

Quantlib: Mortgage Backed Securities

Does quant-lib have any classes for Mortgage Backed Securities to calculate Accrued Interest, Price and/or Yield ?

This message is intended only for the stated addressee(s) and may be confidential. Access to this email by anyone else is unauthorised. Any opinions expressed in this email do not necessarily reflect the opinions of Fidessa. Any unauthorised disclosure, use or dissemination, either whole or in part is prohibited. If you are not the intended recipient of this message, please notify the sender immediately.
Fidessa plc registered in England and Wales no. 3781700. VAT registration no. GB688900878. Registered office - Dukes Court, Duke Street, Woking, Surrey, GU21 5BH, UK
Fidessa buy-side ltd registered in England and Wales no. 3656437. VAT registration no. GB688900878. Registered office - Dukes Court, Duke Street, Woking, Surrey, GU21 5BH, UK
Fidessa group plc registered in England and Wales no. 3234176. VAT registration no. GB688900878. Registered office - Dukes Court, Duke Street, Woking, Surrey, GU21 5BH, UK

Luigi Ballabio

Re: Quantlib: Mortgage Backed Securities

No, it doesn't. The closest you can get is to model prepayments
externally and feed the results to the amortizing-bond classes in
<ql/experimental/amortizingbonds>. But this will probably misprice
the optionality of the prepayments.

Luigi

On Tue, Mar 12, 2013 at 2:57 PM, Navtej Singh-Riyait
<[hidden email]> wrote:

> Does quant-lib have any classes for Mortgage Backed Securities to calculate
> Accrued Interest, Price and/or Yield ?
>
>
>
> This message is intended only for the stated addressee(s) and may be
> confidential. Access to this email by anyone else is unauthorised. Any
> opinions expressed in this email do not necessarily reflect the opinions of
> Fidessa. Any unauthorised disclosure, use or dissemination, either whole or
> in part is prohibited. If you are not the intended recipient of this
> message, please notify the sender immediately.
> Fidessa plc registered in England and Wales no. 3781700. VAT registration
> no. GB688900878. Registered office - Dukes Court, Duke Street, Woking,
> Surrey, GU21 5BH, UK
> Fidessa buy-side ltd registered in England and Wales no. 3656437. VAT
> registration no. GB688900878. Registered office - Dukes Court, Duke Street,
> Woking, Surrey, GU21 5BH, UK
> Fidessa group plc registered in England and Wales no. 3234176. VAT
> registration no. GB688900878. Registered office - Dukes Court, Duke Street,
> Woking, Surrey, GU21 5BH, UK
>
>
> ------------------------------------------------------------------------------
> Symantec Endpoint Protection 12 positioned as A LEADER in The Forrester
> Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in the
> endpoint security space. For insight on selecting the right partner to
> tackle endpoint security challenges, access the full report.
> http://p.sf.net/sfu/symantec-dev2dev
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Ibbotson, Simon

Re: Quantlib: Mortgage Backed Securities

Indeed. Prepayments need to be linked (using some model) to interest-rates at the least.

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Tuesday, March 12, 2013 2:13 PM
To: Navtej Singh-Riyait
Cc: [hidden email]
Subject: Re: [Quantlib-dev] Quantlib: Mortgage Backed Securities

No, it doesn't. The closest you can get is to model prepayments externally and feed the results to the amortizing-bond classes in <ql/experimental/amortizingbonds>. But this will probably misprice the optionality of the prepayments.

Luigi

On Tue, Mar 12, 2013 at 2:57 PM, Navtej Singh-Riyait <[hidden email]> wrote:

> Does quant-lib have any classes for Mortgage Backed Securities to
> calculate Accrued Interest, Price and/or Yield ?
>
>
>
> This message is intended only for the stated addressee(s) and may be
> confidential. Access to this email by anyone else is unauthorised. Any
> opinions expressed in this email do not necessarily reflect the
> opinions of Fidessa. Any unauthorised disclosure, use or
> dissemination, either whole or in part is prohibited. If you are not
> the intended recipient of this message, please notify the sender immediately.
> Fidessa plc registered in England and Wales no. 3781700. VAT
> registration no. GB688900878. Registered office - Dukes Court, Duke
> Street, Woking, Surrey, GU21 5BH, UK Fidessa buy-side ltd registered
> in England and Wales no. 3656437. VAT registration no. GB688900878.
> Registered office - Dukes Court, Duke Street, Woking, Surrey, GU21
> 5BH, UK Fidessa group plc registered in England and Wales no. 3234176.
> VAT registration no. GB688900878. Registered office - Dukes Court,
> Duke Street, Woking, Surrey, GU21 5BH, UK
>
>
> ----------------------------------------------------------------------
> -------- Symantec Endpoint Protection 12 positioned as A LEADER in The
> Forrester
> Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in
> the endpoint security space. For insight on selecting the right
> partner to tackle endpoint security challenges, access the full report.
> http://p.sf.net/sfu/symantec-dev2dev
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

------------------------------------------------------------------------------
Symantec Endpoint Protection 12 positioned as A LEADER in The Forrester
Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in the endpoint security space. For insight on selecting the right partner to tackle endpoint security challenges, access the full report.
http://p.sf.net/sfu/symantec-dev2dev
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

***********************************************************************************

This email is, and should be treated as, a communication originating from the Financial Services Authority (FSA). While this email is sent from a computer system operated by the Bank of England, that system is operated on the FSA's behalf.
This communication and any attachments contain information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority.
If you have received this email in error please notify [hidden email] immediately and delete the email from your computer.
The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards.
This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from The Financial Services Authority (FSA), 20 Moorgate, London, EC2R 6DA, United Kingdom.
Registered as a Limited Company in England and Wales No.1920623.
Registered Office 25 The North Colonnade, Canary Wharf, London, E14 5HS
Switchboard: 020 7601 4444.
Web Site: http://www.fsa.gov.uk

***********************************************************************************

_____________________________________________________________________
This e-mail has been scanned for known viruses by the Messagelabs SkyScan Service.

------------------------------------------------------------------------------
Everyone hates slow websites. So do we.
Make your web apps faster with AppDynamics
Download AppDynamics Lite for free today:
http://p.sf.net/sfu/appdyn_d2d_mar
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev