Posted by
Luigi Ballabio on
Mar 11, 2009; 3:22pm
URL: http://quantlib.414.s1.nabble.com/mortgage-bond-tp12877p12894.html
On Sun, 2009-03-08 at 14:14 -0800, 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.
It seems like a good match. No, seriously.
> 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.
[ snipped ]
At this time, I'm not aware of work being done on this (well, except for
proprietary work, but that's out of the picture.) Given the model you
want to implement, your approach seems correct. If possible, keep the
calculations in a pricing engine so that they can be replaced easily
when someone (or you) add a prepayment model or anything else.
Later,
Luigi
--
The idea that an arbitrary naive human should be able to properly
use a given tool without training or understanding is even more
wrong for computing than it is for other tools (e.g. automobiles,
airplanes, guns, power saws).
-- Doug Gwyn
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