> prepayments and defaults such as OAS and OAD. Is anybody planning to develop
The last I knew was the post you quoted below. There are no other plans
that I know of. But if you didn't already, maybe you might want to
> Nathan Abbott wrote:
> >
> > I am c++ programmer that only knows the basics of quantitative finance.
> > Because I have been programming with QuantLib for two years, I think I
> > have
> > a good understanding on how QuantLib works. Luigi Ballabio's *
> > Implementing
> > QuantLib *has been a great help on understanding QuantLib. I am working
> > with
> > a financial person who uses my program, He is fluent with quantitative
> > finance, but only knows a little c++ and does not know how QuantLib works.
> >
> > We want to implement a simple version of mortgage bonds through a
> > MorgtageBond class that will probably inherit from the Bond class (and
> > maybe
> > a FixedRateMortageBond and FloatingRateMortageBond classes derived from
> > the
> > MortgageBond class) and would like to solicit some
> > opinions/suggestions/objections.
> >
> > Currently we are thinking that it will be defined similar to the
> > amortizing
> > bond classes (taking in a vector of nominals and dates generated outside
> > of
> > QuantLib), but be derived from bond (and inherit all it's functions) and
> > adding specific functions to it (like weighted average life calculation).
> > Has anyone already done/thought of doing something similar?
> >
> > Secondly, assuming prepayments are not an issue (which for our purposes
> > they
> > are not), a simple mortgage bond is priced similar to corporate bonds,
> > meaning as a spread over swaps (i.e. on a yield basis, yield = swap rate +
> > spread), then use that sum as the yield to calculate the price. The bond
> > class has dirtyPrice and cleanPrice functions which take yield as an
> > input.
> > We can get the par rate from the yield curve by using the parRate function
> > or instantiate a simple swap (as explained in yieldtermstructure.hpp
> > comments).
> >
> > Our question is w.r.t the spread. We want to build a spread grid/matrix
> > with
> > rating on one axis/rows and maturity/columns on the other. We were
> > thinking
> > of creating a termspreadsurface (similar to capfloortermvolsurface) which
> > could be useful for mbs and corporate bonds (spread per rating/term). Has
> > anyone already done something similar?
> >
> > 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.
> >
> > ------------------------------------------------------------------------------
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> >
>
>
> -----
> Cavit (Javit) Hafizoglu
> mailto:
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There are no rules of architecture for a castle in the clouds.
-- Gilbert K. Chesterton