http://quantlib.414.s1.nabble.com/Re-Mortgage-backed-securities-was-Jamshidian-engine-with-start-delay-tp14266p14267.html
the MBS.
> What I am interested in the calculation of accrued interest and price/yield or average yield for MBSs not sophisticated pricing.
>
> -----Original Message-----
> From: Luigi Ballabio [mailto:
[hidden email]]
> Sent: 21 May 2013 16:21
> To: Navtej Singh-Riyait
> Cc:
[hidden email]
> Subject: Re: [Quantlib-dev] Mortgage backed securities [was:Jamshidian engine with start delay]
>
> Hello,
> there's no support for MBS at this time. What pricing model do you have in mind?
>
> Luigi
>
> On Fri, May 17, 2013 at 2:40 PM, Navtej Singh-Riyait <
[hidden email]> wrote:
>> Is there a way I can incorporate accrued interest and yield
>> calculations for incorporate Mortgaged Backed Securities in QuantLib ?
>>
>>
>>
>> From: Ferdinando Ametrano [mailto:
[hidden email]]
>> Sent: 15 May 2013 09:19
>> To: Peter Caspers
>> Cc:
[hidden email]
>> Subject: Re: [Quantlib-dev] Jamshidian engine with start delay
>>
>>
>>
>> I'm ok with your extension provided that the new values collapse back
>> to the old ones (with a reasonable tolerance) in the case of expiry
>> date being equal the value date.
>>
>> Is the data you've posted related to this case?
>>
>>
>>
>> It's a while now I do not work for a vol desk, but I would never
>> underestimate the huge difference of analytic vs numerical methods
>> when it comes to calibration.
>>
>>
>>
>> This said I would also add that I'm always amazed how poor the
>> production setup is, even in very sophisticated banks. Old models
>> stick around for very long time, just because of the huge effort
>> required to update them in production systems. The multi-curve
>> framework updates I've seen so far rival with Mary Shelley's
>> Frankenstein approach
>>
>>
>>
>>
>>
>> On Sat, May 11, 2013 at 1:37 PM, Peter Caspers
>> <
[hidden email]>
>> wrote:
>>
>> Hello,
>>
>> in the JamshidianSwaptionEngine the option expiry date and the value
>> date of the underlying swap are handled a bit simplified assuming both
>> dates equal (see the warning in the code). Though the impact is
>> usually not very big we might want to improve this detail in the
>> library ? See below for a possible approach. Thank you Sebastian for our discussions on the topic.
>>
>> Aside I would be interested whether the Jamshidian method is still in
>> use for model calibration in the world of multi curve enhanced models
>> (where by enhanced I mean something simple like a static spread
>> correction) because I believe the generalization of the method to this
>> setting is not straightforward. Also I feel that numerical integration
>> does nearly a just as efficient and accurate job and it directly
>> allows for multiple curve computations. Or do you ignore multi curve
>> in the calibration phase and only adjust the curves for the actual pricing ?
>>
>> Back to Jamshidian and the start delay. Some theoretical background
>> and numerical examples can be found here
>>
>>
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2246054>>
>> A possible implementation goes as follows. First we need to provide an
>> extended zerobond option method, which we can add to AffineModel in
>> model.hpp
>>
>>
https://github.com/pcaspers/quantlib/commit/e16b4ea5ffbfe33bd6acd0ee6c>> b3ecd8a43f72a4
>>
>> The default implementation uses the same simplification as mentioned
>> above ignoring the bond start delay. To improve the pricing in the
>> JamshidianEngine we have to overwrite this method in the model
>> implementations for which we want it. For the Hull White model I did
>> it here
>>
>>
https://github.com/pcaspers/quantlib/commit/e8b5912cac2e236fe59a885e8c>> d1e2ed9243cc47
>>
>> Finally we have to modify the Jamshidian engine a bit
>>
>>
https://github.com/pcaspers/quantlib/commit/019f37a498846d9a6e89a89730>> 0f126c01d6ef86
>>
>> (maybe we should keep some warning in the code because you are not
>> forced to support the start delay in your model implementations)
>>
>> Not suprisingly the test suite breaks when comparing computation
>> results to cached values computed with the simplified engine, so the
>> cached values should be updated (given that we believe in the new
>> engine)
>>
>> 1> Testing Hull-White calibration against cached values...
>> 1> shortratemodels.cpp(126): error in
>> "QuantLib::detail::quantlib_test_case(&ShortRateModelTest::testCachedHullWhite)":
>> Failed to reproduce cached calibration results:
>> 1> calculated: a = 0.0464041, sigma = 0.00579912, f(a) = 0.1158,
>> 1> expected: a = 0.0488565, sigma = 0.00593662, f(a) = 0.121599,
>> 1> difference: a = -0.00245242, sigma = -0.000137495, f(a) =
>> 1> -0.00579896, end criteria = StationaryFunctionValue
>>
>> regards
>> Peter
>>
>>
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