Re: mortgage bond

Posted by Nathan Abbott on May 05, 2010; 4:24pm
URL: http://quantlib.414.s1.nabble.com/mortgage-bond-tp12877p12879.html

I finish working on creating a loan class and mortgagebond class for QuantLib. I and my user plan on submitting the classes to QuantLib, but we want to do so clean up first. He is out of town at the moment. I do not know when we will submit the classes, because I do not know when he will coming back. I can give you and anybody that wants the classes a prerelease copy of the classes. As for the database stuff I am sorry I am way to busy to help you there.

On Fri, Apr 30, 2010 at 10:09 AM, mtgequant <[hidden email]> wrote:

Nathan,

I wanted to see if you can help me with my problem. My current
infrastructure is one where I have a Database of loan level information. I
have another database which are the coefficients of a Regression model that
takes the loan level information as input and then outputs the probability
of default, prepayment and severity. I want to create a C++ program that
reads the data from the 1st database ( loan level information) then reads
the second database and then runs the equation to give loan level
probability of default, prepayment and severity for each loan. It then
should aggregate all the probabilities into one single prepayment,default
and loss severity curve.

I heard from people that using a .dll file ( subroutine) would be the best
approach and I wanted to see if you can help me with writing the code. I can
send you the database if you want.

Thanks and Regards,

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