Re: MC mortgage pricing model

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/MC-mortgage-pricing-model-tp2865p2867.html

On 2004.03.31 17:46, J Yu wrote:
> I'd like to second what John has said, I also find this QuantLib an
> invaluable resource!

Thanks.

> 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.

It's a possibility, even though for the calendars in the library, I'd  
rather keep the current rule-based implementation (i.e., 25th December  
of any year is a holiday) rather than enumerating the holidays  
(1900/12/25, 1901/12/25, ... , 2099/12/25.) The latter could be used as  
a resort when the desired calendar is out of date or not available. If  
you were to contribute such a calendar class, I'd be happy to include  
it in the library.

> 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.

I agree. But for a number of reasons (probably preposterous, but such  
is life) Nando and I are prevented from adding a Bond class to  
QuantLib. We'd welcome its contribution by someone else, though. It's  
just half a swap after all (hint, hint)

Later,
        Luigi