Quoting Nathan Abbott <nkabbott@gmail.com>:
> Btw, if anybody is interested in residential prepayments/OAS calculations
> and willing to implement that or is working on that, please contact me and
> we can hopefully coordinate. Please note however that we have limited
> (almost zero) expertise on that subject.
>
I can do the prepayment and default bits if you want, I am familiar with the
prepayment models. As you suggest this might change your pricing, I could
implement them as a probability of a notional surviving fraction.
We can work out the details.
Regards
Pepe
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