Re: RiskyBond

Posted by Simon Ibbotson on Jul 04, 2008; 4:23pm
URL: http://quantlib.414.s1.nabble.com/RiskyBond-tp11995p11996.html

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

-------------------------------------------------------------------------
Sponsored by: SourceForge.net Community Choice Awards: VOTE NOW!
Studies have shown that voting for your favorite open source project,
along with a healthy diet, reduces your potential for chronic lameness
and boredom. Vote Now at http://www.sourceforge.net/community/cca08
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

-------------------------------------------------------------------------
Sponsored by: SourceForge.net Community Choice Awards: VOTE NOW!
Studies have shown that voting for your favorite open source project,
along with a healthy diet, reduces your potential for chronic lameness
and boredom. Vote Now at http://www.sourceforge.net/community/cca08
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev