Re: How to handle sink schedules, stepped coupons, stepped formulas, callable floaters?
Posted by
Mike Jake on
May 29, 2012; 2:45pm
URL: http://quantlib.414.s1.nabble.com/How-to-handle-sink-schedules-stepped-coupons-stepped-formulas-callable-floaters-tp7771p7784.html
I have to say this is a very good open-source library with quality I didn't expect to see originally.
Thank you for the great work:)
On Mon, May 28, 2012 at 3:51 AM, Luigi Ballabio
<[hidden email]> wrote:
Hello,
> Q1>
> Does Quantlib make a lot of major simplifying assumptions about fixed income
> markets? For example, assume that the most complicated feature a bond can
> have is being callable (ignoring sink schedules, stepped coupons, stepped
> formulas etc). Note also, for instance, that the hierarchy doesn’t include
> callable floaters.
Yes and no. For instance, the current implementation of callable
bonds does miss those features, but there's nothing fundamental that
prevents them from being added. For instance, if you added another
constructor that takes the sequence of notionals and the sink
schedule, the underlying machinery would be ready to use it. Ditto
for the callable floaters: nobody contributed them yet, but nothing
prevents them from being implemented.
> Q2> Is there any serious commercial adoption of this library?
Good question. I'm forced to give my usual lame answer, which is that
I'm aware of a few places where the library is used but I don't think
I can disclose them. The only other clue I have is that people
subscribe to the mailing list with email addresses from all around the
financial world; but again, I can't share any of them. So all in all,
the picture of the adoption of the library is quite opaque, even for
me. I have a slightly better view of its use in academy, since I get
invited from time to time to give lectures on the architecture of the
library. But even there, I don't have much feedback about its use in
research. Which might as well mean that it's not used, of course...
Luigi
------------------------------------------------------------------------------
Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and
threat landscape has changed and how IT managers can respond. Discussions
will include endpoint security, mobile security and the latest in malware
threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users