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Re: mortgage bond

Posted by chenjiakai on Apr 10, 2009; 3:18pm
URL: http://quantlib.414.s1.nabble.com/mortgage-bond-tp12877p12892.html

Thanks a lot Nathan.  I am very interested in your extension and will look at it.  Regards,

 

Jiakai Chen

 


From: Nathan Abbott [mailto:[hidden email]]
Sent: Wednesday, April 08, 2009 10:41 PM
To: Jose Aparicio-Navarro
Cc: stefanadelbert; [hidden email]
Subject: Re: [Quantlib-dev] mortgage bond

 

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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