Posted by
japari on
URL: http://quantlib.414.s1.nabble.com/Questions-Re-The-CDO-Class-tp840p843.html
Hi Alex,
----- "Alex Zhang" <
[hidden email]> a écrit :
> 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).
Theres no Base Correlation pricing engine yet and you are bound to get differences
since thats what Bloomberg will be doing. I started coding this but havent found the
time to finish it yet.
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 LHP should do the trick. Are you using zero RR on the CDS?, I mean a tranche like
that doesnt knock out like a CDS so they are not the same contract unless you twist
it a bit.
> 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.
>
I believe it means mezzanine as in 'any generic tranche'
Please post how it goes, I get the impression this hasnt been much tested.
Best
Pepe
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