Re: [Quantlib-users] Mortgage analytics compatible with QL / Python API

[<mat...@gm...>]

Hello,

 

Maybe this one: https://www.ad-co.com/analytics_valuation#OASSub

 

I remember a proof-of-concept I created some time ago which went fairly well, but my involvement was more on the technical side, so I cannot really judge the quality of the model.

 

It is “fairly” compatible with QL in that it is a C library ;)

Free or libre as QL it is not.

 

 

Best regards,

Matthias

 

 

From: Philippe Hatstadt <phi...@ex...> 
Sent: Tuesday, 20 October 2020 15:16
To: QuantLib users <Qua...@li...>
Subject: [Quantlib-users] Mortgage analytics compatible with QL / Python API

 

Are there any 3rd party analytics vendors specialized in MBS?

In particular, I'd be interested in both cash flow modeling and OAS, the latter requiring a stochastic rate model.

For a number of reasons, I'd like such a vendor to be somehow compatible with QL although it's not 100% clear what that even means, short of being based on QL an open source, which probably doesn't exist.




Philippe Hatstadt

 

 

 

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