Credit derivatives implementation...

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Bond-duration-incorrect-tp4434p4437.html

Hi,

There actually is an implementation of building credit default curves and
the pricing of credit default swaps.

The library actually uses a cut down version of quantlib for most of the
building blocks.

However the default probability curves built does have the annoying
assumption that defaults can only happen once a year and does not take into
consideration accural payments.

The math is sound and the coding pretty clean, however I don't like the
recursion approach for the solving of probabilities (I prefer Quantlib's
rateHelpers approach) coupled with a maximum length that a credit curve can
occupy.

What I do like is that they have a spreadsheet (creditCurveYann.xls)
implementation of a credit default curve stripper using Excel alone (coupled
with Excel's solver). Now this is a pretty good basis for a rateHelper
approach

The library happens to contain other financial building blocks currently not
present within quantlib (ie volatility swaps...).

The library, I believe, is LGPL.

check it out at : http://terreneuve.sourceforge.net/

You may want to read the pdf first to get an idea of what the library is
capable of :

http://terreneuve.sourceforge.net/1.0/Report.pdf

Very nice library.

Toy out.