Re: [Quantlib-dev] Quantlib: Mortgage Backed Securities

[Ibbotson, S. <Sim...@ba...>]

Indeed. Prepayments need to be linked (using some model) to interest-rates at the least. 

-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: Tuesday, March 12, 2013 2:13 PM
To: Navtej Singh-Riyait
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Quantlib: Mortgage Backed Securities

No, it doesn't.  The closest you can get is to model prepayments externally and feed the results to the amortizing-bond classes in <ql/experimental/amortizingbonds>.  But this will probably misprice the optionality of the prepayments.

Luigi

On Tue, Mar 12, 2013 at 2:57 PM, Navtej Singh-Riyait <Nav...@fi...> wrote:
> Does quant-lib have any classes for Mortgage Backed Securities to 
> calculate Accrued Interest, Price and/or Yield ?
>
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