Re: [Quantlib-dev] mortgage bond

[Chen, J. <che...@ho...>]

Thanks a lot Nathan.  I am very interested in your extension and will look
at it.  Regards,

 

Jiakai Chen 

 

  _____  

From: Nathan Abbott [mailto:nka...@gm...] 
Sent: Wednesday, April 08, 2009 10:41 PM
To: Jose Aparicio-Navarro
Cc: stefanadelbert; qua...@li...
Subject: Re: [Quantlib-dev] mortgage bond

 

Sorry for the delay. Here is what I have written so for. First the code is
off QuantLib 0.9.7. It will not work with the current copy of QuantLib in
subversion.

 

in ql/cashflows/cashflows.hpp,cashflows.cpp

    I add a sumAmount to the cashflows class. The loan class use this
method.

 

 

in ql/cashflows/fixedratecoupon.hpp, fixedratecoupon.cpp

    I add delaydays method to a FixedRateLeg. We need this for Mortgage
Bonds

 

in ql/experimental/loans/amortizingfixedrateleg.hpp,
amortizingfixedrateleg.cpp

    I created a AmortizingFixedRateLeg class. This has the amortizing logic
need to create a loan cash flow.

 

in ql/experimental/loans/loan.hpp, loan.cpp

    This is a base loan class. It is very similiar to the bond class.

 

in ql/experimental/loans/fixedrateloan.hpp, fixedrateloan.cpp

    This is a FixedRateLoan class that inherits from the loan class. It use
the AmortizingFixedRateLeg to create it legs. It can create its own cash
flows and get the npv from an pricingengine.

 

in ql/experimental/loans/discountingloanengine.cpp

    This is the pricing engine for the loan class.

 

in ql/experimental/mortgagebonds/mortgagebond.hpp, mortgagebond.cpp

    This is a base MortgageBond class. Obviously, it inherits from the bond
class. Right now all it has is a  WAL calculation method.

 

  

in ql/experimental/mortgagebonds/fixedratemortgagebond.hpp,
fixedratemortgagebond.cpp

    This is a FixedRateMortgageBond class. Obviously, it inherits from the
mortgagebond class. It is very similiar to the AmortizingFixedRateBond

 

On Wed, Apr 8, 2009 at 3:24 AM, Jose Aparicio-Navarro <ja...@fr...>
wrote:

Hi Nathan, yes thank you, I want to sign for the free copy :-)
I'll try to look at it from the prepayments/default side. But I do not
think I'll implement anything in the short term.
It is 0.9.7 code, right?

Regards
Pepe



Quoting Nathan Abbott <nka...@gm...>:

> I have a version of a Loan class, a FixedRateLoan class, a MortgageBond
> class, and a FixedRateMortgageBond class that I am working on. If any body
> wants to look at them just email me. Any suggests and comments would be
> helpful.
>