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 <japari@free.fr>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 <nkabbott@gmail.com>:
>
> > 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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