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 <stefanadelbert@gmail.com>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
> > QuantLib-dev@lists.sourceforge.net
> >
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
> QuantLib-dev@lists.sourceforge.net
>
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
QuantLib-dev@lists.sourceforge.net
https://lists.sourceforge.net/lists/listinfo/quantlib-dev