Posted by
Peter Caspers-4 on
May 03, 2016; 6:08am
URL: http://quantlib.414.s1.nabble.com/Option-Adjusted-Spread-BDT-model-tp17430p17431.html
Hi Erica,
isn’t BK the more general version of BDT? Although I think BDT was originally a discrete-time model, so it’s not exactly the same. Still, probably BK is the closest you can get in QuantLib currently.
Concerning the OAS and effective figures I don’t think they are directly supported, one would need to add small routines on top of the exotic NPV calculation to compute them.
Kind Regards
Peter
> Am 02.05.2016 um 10:37 schrieb Erica <
[hidden email]>:
>
> Hi All,
>
> I'm working on callable bonds and I want to know if it is possible to
> compute Option Adjusted Spread and Effective Duration/Convexity using
> quantlib.
>
> Reading some papers I know that usually the used model is the* 'Black Derman
> and Toy'* model but looking in quantlib I can see that it is not implemented
> yet. (I can find only Hull-White Model and Black-Karasinski model)
>
> Is the BDT model implemented?
>
> If the BDT model is not available, is it possible to use in some way the
> Black Karasinki model instead of the BDT model?
> Whats needs to be changed in order to use the BK model instead of BDT ones?
> Is there any additional Hypotesis that has to be done to use this different
> model?
>
> If someone could provide an example or explain me how to find a solution it
> will be really appreciated.
> Thanks a lot
> Erica
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Option-Adjusted-Spread-BDT-model-tp17430.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> Find and fix application performance issues faster with Applications Manager
> Applications Manager provides deep performance insights into multiple tiers of
> your business applications. It resolves application problems quickly and
> reduces your MTTR. Get your free trial!
>
https://ad.doubleclick.net/ddm/clk/302982198;130105516;z> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-users------------------------------------------------------------------------------
Find and fix application performance issues faster with Applications Manager
Applications Manager provides deep performance insights into multiple tiers of
your business applications. It resolves application problems quickly and
reduces your MTTR. Get your free trial!
https://ad.doubleclick.net/ddm/clk/302982198;130105516;z_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users