Re: mortgage bond

Posted by Nathan Abbott on Apr 07, 2009; 4:11pm
URL: http://quantlib.414.s1.nabble.com/mortgage-bond-tp12877p12888.html

I have a version of a Loan class, a FixedRateLoan class, a MortgageBond class, and a FixedRateMortgageBond class that I am working on. If any body wants to look at them just email me. Any suggests and comments would be helpful.

On Sun, Apr 5, 2009 at 10:56 PM, stefanadelbert <[hidden email]> wrote:

I was thinking of doing something fairly similar with QuantLib as part of a
homeloan calculator I'm working on. My idea was to add to the C# codebase
that is part of QLNet and extend the Bond class. I'm not as concerned about
pricing the mortgage as generating payment and amortising principal
schedules.

My background is in C++ so I would be OK working on C++ codebase, but would
prefer to work directly on the C# codebase as C# would suit my purposes
better.

Please get in touch if you reckon we could collaborate on this.

Stefan

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.
>

> ------------------------------------------------------------------------------
> Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco,
> CA
> -OSBC tackles the biggest issue in open source: Open Sourcing the
> Enterprise
> -Strategies to boost innovation and cut costs with open source
> participation
> -Receive a $600 discount off the registration fee with the source code:
> SFAD
> http://p.sf.net/sfu/XcvMzF8H
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

--
View this message in context: http://www.nabble.com/mortgage-bond-tp22403757p22902644.html
Sent from the quantlib-dev mailing list archive at Nabble.com.


------------------------------------------------------------------------------
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

------------------------------------------------------------------------------
This SF.net email is sponsored by:
High Quality Requirements in a Collaborative Environment.
Download a free trial of Rational Requirements Composer Now!
http://p.sf.net/sfu/www-ibm-com
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev