Posted by
J Yu on
URL: http://quantlib.414.s1.nabble.com/MC-mortgage-pricing-model-tp2865p2866.html
Hello All,
I'd like to second what John has said, I also find this QuantLib an
invaluable resource!
I started looking into QuantLib short while ago, I haven't got a chance
to do much in detail. Here are the two questions I have. Please let me
know what you think:
1. Holiday schedule: A few days ago a email message was questioning if
12/31/2004 is a holiday. Here in the US, fixed income market and equity
market would follow a slightly different holiday schedule. It would be
very helpful if it has the interface to read in an external file with
the format of, ie, currency + YYYYMMDD. That would avoid the
recompilation of the library for the sake of updating the holiday
schedule. If this is not yet done, I can put in the piece if you all
agree to the idea.
2. Mortgage instrument: My first reaction is that it is unlikely
QuantLib
can cover MBS. However, I'd like to see BOND is supported, regardless
of
fixed coupon, or variable coupon. If so, we can derive subtypes from
it.
Cheers,
-----Original Message-----
From:
[hidden email]
[mailto:
[hidden email]] On Behalf Of John
Mauceri
Sent: Wednesday, March 31, 2004 10:10 AM
To:
[hidden email]
Subject: [Quantlib-users] MC mortgage pricing model
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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