RiskyBond

[Calvin Lai]

Hi,

I am trying to implement the modeling of a riskbond (ie. non-zero probability of default). Any comments? So far I have updated my local files for coupon and bond classes to accommodate the Issuer in a bond.

Also, I am also planning to add the principal payments as cashflow entries in a Leg. Currently it seems no principal repayments are added. Again, comments are welcome.

Regards,
Calvin

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[Simon Ibbotson]

Hi Calvin,

I've done this (amortising bonds and risky bonds/engine), and will submít the code as soon as I return from holiday.

All the best,

Simon

On Fri, Jul 4, 2008 at 4:09 PM, Calvin Lai <[hidden email]> wrote:

Hi,

I am trying to implement the modeling of a riskbond (ie. non-zero probability of default). Any comments? So far I have updated my local files for coupon and bond classes to accommodate the Issuer in a bond.

Also, I am also planning to add the principal payments as cashflow entries in a Leg. Currently it seems no principal repayments are added. Again, comments are welcome.

Regards,
Calvin

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