Posted by
Nathan Abbott on
Apr 09, 2009; 2:40am
URL: http://quantlib.414.s1.nabble.com/mortgage-bond-tp12877p12890.html
Sorry for the delay.
Here is what I have written so for. First the code is off QuantLib 0.9.7. It
will not work with the current copy of QuantLib in
subversion.
in
ql/cashflows/cashflows.hpp,cashflows.cpp
I add a
sumAmount to the cashflows class. The loan class use this
method.
in
ql/cashflows/fixedratecoupon.hpp, fixedratecoupon.cpp
I add delaydays
method to a FixedRateLeg. We need this for Mortgage Bonds
in ql/experimental/loans/amortizingfixedrateleg.hpp,
amortizingfixedrateleg.cpp
I created a AmortizingFixedRateLeg class. This has
the amortizing logic need to create a loan cash flow.
in
ql/experimental/loans/loan.hpp, loan.cpp
This is a base
loan class. It is very similiar to the bond class.
in
ql/experimental/loans/fixedrateloan.hpp, fixedrateloan.cpp
This is
a FixedRateLoan class that inherits from the loan class. It use the
AmortizingFixedRateLeg to create it legs. It can create its own cash flows and
get the npv from an pricingengine.
in
ql/experimental/loans/discountingloanengine.cpp
This is the
pricing engine for the loan class.
in
ql/experimental/mortgagebonds/mortgagebond.hpp,
mortgagebond.cpp
This is a
base MortgageBond class. Obviously, it inherits from the bond class. Right now
all it has is a WAL calculation method.
in
ql/experimental/mortgagebonds/fixedratemortgagebond.hpp,
fixedratemortgagebond.cpp
This is a
FixedRateMortgageBond class. Obviously, it inherits from the mortgagebond class.
It is very similiar to the AmortizingFixedRateBond
On Wed, Apr 8, 2009 at 3:24 AM, Jose Aparicio-Navarro
<[hidden email]> wrote:
Hi Nathan, yes thank you, I want to sign for the free copy :-)
I'll try to look at it from the prepayments/default side. But I do not
think I'll implement anything in the short term.
It is 0.9.7 code, right?
Regards
Pepe
Quoting Nathan Abbott <
[hidden email]>:
> 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.
>
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