MC mortgage pricing model

Posted by John Mauceri on
URL: http://quantlib.414.s1.nabble.com/MC-mortgage-pricing-model-tp2865.html

I would like to thank all who created this incredible
resource.  I have built many pricing models and hate
reinventing the wheel.  This is my first time using
this library so I apologize ahead of time for dumb
questions for you experienced users.  

 

Having said that, I am building a MC mortgage pricing
model.  I would like to use as much of the library as
possible to keep development time down.  Has anyone
developed a Mortgage Instrument? I was going to use
just one side of a Swaption and set the floating rate
to 0 however, this works for swaps but is not working
for swaptions.

 

Thanks.



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