Re: Questions Re The CDO Class

Posted by japari on
URL: http://quantlib.414.s1.nabble.com/Questions-Re-The-CDO-Class-tp840p841.html

Alex,
I wrote a few lines to show what I meant.
And then I noticed that there is indeed a problem with one of the engines, precisely the GLHPMidPointCDOEngine. This is the output of pricing a CDO of 100 names with a high prob of default. Shows what we talk; notice that engine is able to lose all the structure; and it is giving the same CL as a CDS.

----GLHPMidPointCDOEngine----
Remaining notional: 1
DL npv: -1
CL npv: -0.510428
Net NPV: 0.489572
Fair spread: 1.95914
----IHPMidPointCDOEngine----
Remaining notional: 1
DL npv: -0.62
CL npv: -4.25887
Net NPV: -3.63887
Fair spread: 0.145579
----HPMidPointCDOEngine----
Remaining notional: 1
DL npv: -0.6
CL npv: -4.3445
Net NPV: -3.7445
Fair spread: 0.138106
----GaussRecCDOEngine----
Remaining notional: 1
DL npv: -0.599993
CL npv: -4.36521
Net NPV: -3.76522
Fair spread: 0.137449

Expected losses at coupon times:
----GLHPMidPointCDOEngine----
0 , 0.400171 , 0.640205 , 0.782983 , 0.869102 , 0.921483
----IHPMidPointCDOEngine----
0 , 0.250303 , 0.394738 , 0.479654 , 0.53103 , 0.562279
----HPMidPointCDOEngine----
0 , 0.249103 , 0.393123 , 0.478792 , 0.53054 , 0.56207
----GaussRecCDOEngine----
0 , 0.240099 , 0.384119 , 0.469785 , 0.521456 , 0.552885

CDS DL0.6
CDS CL-0.510428
CDS Fair: 1.17548
Run completed in 1 m 40 s


I think is the way the losses are divided by the LGD in the code. I'll send a patch sometime next week.

Best regards
Pepe

------------------------------------------------------------------------------
Protect Your Site and Customers from Malware Attacks
Learn about various malware tactics and how to avoid them. Understand
malware threats, the impact they can have on your business, and how you
can protect your company and customers by using code signing.
http://p.sf.net/sfu/oracle-sfdevnl
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users