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Re: Quantlib: Mortgage Backed Securities

Posted by Luigi Ballabio on Mar 12, 2013; 2:12pm
URL: http://quantlib.414.s1.nabble.com/Quantlib-Mortgage-Backed-Securities-tp14119p14120.html

No, it doesn't.  The closest you can get is to model prepayments
externally and feed the results to the amortizing-bond classes in
<ql/experimental/amortizingbonds>.  But this will probably misprice
the optionality of the prepayments.

Luigi

On Tue, Mar 12, 2013 at 2:57 PM, Navtej Singh-Riyait
<[hidden email]> wrote:

> Does quant-lib have any classes for Mortgage Backed Securities to calculate
> Accrued Interest, Price and/or Yield ?
>
>
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Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in the  
endpoint security space. For insight on selecting the right partner to
tackle endpoint security challenges, access the full report.
http://p.sf.net/sfu/symantec-dev2dev
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