Re: [Quantlib-dev] Any projects?

[Jose Aparicio-N. <ja...@fr...>]

Hi,

I am in to join forces for credit stuff, I am working on a couple of things now
and would like critics on the credit classes concepts.
My intention is to go all the 'standard' road on credit derivatives up to the
dynamical models. Also apply these to risk management (capital, etc...) Nathan
Abbott also started work on ABS/Mortgage pools, I think thats another important
line.

I am also trying to figure out the implications of the Big Bang issues, mainly
the default lookback period. If you had any thoughts on this (impact on events
and probability bootstrapping) please share them.

I have read some of the Brigo's work on counterparty but in the CDS context not
in the IRS context your talking about. Fine to be in to learn if u put up with
it, dont know how much help I could be if any.

Regards
Pepe





Quoting s.i...@gm...:

> 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.
>
> Sent from my BlackBerry® wireless device
>
> -----Original Message-----
> From: Dima <dim...@go...>
> Date: Thu, 24 Sep 2009 10:19:09
> To: <s.i...@gm...>
> Cc: QuantLib developers<qua...@li...>
> Subject: Re: [Quantlib-dev] Any projects?
>
> Nobody biting with project ideas? This all sounds interesting Simon. We
> should tryto take care of potential new contributors
>
>
> 2009/9/19 <s.i...@gm...>
>
> > Hi folks,
> > I've contributed a few things before to QuantLib and find myself with a
> > little spare time on my hands. Is there anything that someone would like to
> > see added to QuantLib?
> > My background is as a quant with 8 years experience - in fixed-income,
> > credit and especially hybrids...
> > Any of that sound interesting?
> >
> > Cheers,
> > Simon
> >
> > Sent from my BlackBerry® wireless device
> >
> >
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>