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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