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

[Arkadiy N. <ark...@gm...>]

There is also what’s now part of Black Knight - was known as “AFT” before. Both ADCo and AFT are similar in that you can either integrate with just the prepayments model (providing your own rates - and those can come from QL) or get their “full package”, which will include their own proprietary implementation of term structure modeling.

For MBS cash flows - if you interested in anything beyond pass-thrus (structured finance), there is Intex and what used to be known as Chasen (I lost track of where that ended up after several acquisitions - last I remember they were part Moody’s analytics). 

All of these are commercial vendor products.


Sent from my iPad

> On Oct 20, 2020, at 12:13 PM, mat...@gm... wrote:
> 
> 
> 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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