RE: Credit derivatives implementation...

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Bond-duration-incorrect-tp4434p4438.html

Hi,

Oh... when I talk about rateHelpers for credit derivatives, I meant a new
category of rateHelpers that can cater for deriving default probabilities
instead of discout factors (ie - creditHelpers). These classes can probabliy
be used within a new PiecewiseCreditCurve (similar to the current
PiecewiseYieldCurve)

As you may or may not know, you can derive default probabilities from credit
default swaps, Bonds, Transition matrices etc...

What do you think...

Toy out.

>From: "Toyin Akin" <[hidden email]>
>To: [hidden email]
>CC: [hidden email]
>Subject: [Quantlib-users] Credit derivatives implementation...
>Date: Thu, 02 Feb 2006 17:38:43 +0000
>
>
>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.
>
>
>
>
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