Re: [Quantlib-dev] mortgage bond

[stefanadelbert <ste...@gm...>]

Hi Nathan

Today I've been playing with QLNet and ASP and have got a proof of concept
going. I've just used the FixedRateBond class so far and have essentially
modelled an interest only mortgage with it.

I have not had a look at your code yet, but I reckon that for my purposes I
might take your C++ code and port it to the C# QLNet project onto a branch,
if you're OK with that. I still need to finalise with the owners of QLNet
about how best to do that.

Stefan


Nathan Abbott wrote:
> 
> 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.
>> >
>>
> 
>  
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