Path-based Monte Carlo stochastic process for mortgage security valuation
Posted by
Mike@SFE on
Jul 01, 2011; 5:32pm
URL: http://quantlib.414.s1.nabble.com/Path-based-Monte-Carlo-stochastic-process-for-mortgage-security-valuation-tp13627.html
QuantLib
Community.
Synapse Financial Engineering is a small software development
company building fixed-income risk management systems. We will be
adding a Monte Carlo stochastic process to calculate option adjusted
spreads for single-family mortgage assets.
We are looking for an individual or group to develop the code for
us for a fee, but upon completion, we will make the code available to
the QuantLib community to add the resulting functionality to a future
QuantLib release.
Please let me know if you are interested in working with us. I
can be reached at:
Thanks,
Mike
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