Questions Re The CDO Class

Posted by Alex Zhang-9 on
URL: http://quantlib.414.s1.nabble.com/Questions-Re-The-CDO-Class-tp840.html

Hey Everybody,

I just started using Quantlib to build a CDO model asap. Since the CDO class is listed as experimental, I wonder if anyone can kindly share any experience using it and how close it can get to the Bloomberg's 1 factor CDO model (standard Gaussian). I wrote a little program to feed the CDO class with 100 identical DefaultProbabilityTermStructures. Then I priced CDO for 0%-100%, the fairPremium I got is close but different from the CDS premium that I was expecting. 

The reference (http://quantlib.org/reference/class_quant_lib_1_1_c_d_o.html) says it is designed to price mezzanine. I wonder if that matters.

Thanks a lot!

- Alex

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