Re: [Quantlib-dev] Any projects?

[Luigi B. <lui...@gm...>]

On Thu, 2009-09-24 at 08:50 +0000, s.i...@gm... wrote:
> No bites as yet. I thought potentially a HJM framework for
> FX/credit/IR hybrids such as CCDS (or to measure counterparty
> exposure). This could also be used for FX/IR hybrids with the
> judicious application of stoch-vol for the FX surface.
> 
> However, I'm interested in any suggestions.

Simon,
	it's probably much less interesting than your proposal, but given your
experience in fixed income, you might have a look at the issues raised
on the QuantLib-users list by Mike Benson [1] and Sergey Andreyev [2].
Give them a shout if you decide to tackle either problem.

Thanks,
	Luigi

[1] <http://thread.gmane.org/gmane.comp.finance.quantlib.user/5980>
[2] <http://thread.gmane.org/gmane.comp.finance.quantlib.user/6056>



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