[Quantlib-users] Pricing floating-rate cash flows for credit-sensitive bonds

[Michael M. <mic...@gm...>]

Hello,

I am new to QuantLib. I am building a system that prices CLO tranches,
which produce arbitrary forward cash flows. The tranches are typically
floating rate notes, although some are fixed-rate notes.

I need to price both types of notes. I viewed the QuantLib videos that
describe bond pricing (including the dm calc), which all make perfect
sense... but my cashflows are arbitrary (the tranche balances vary, and do
not always pay in full).

Is there an appropriate QuantLib class to represent a credit-sensitive
tranche, or would I simply represent the forward cash flows as a series of
SimpleCashFlow instances?

I am guessing the answer is here:
https://quantlib-python-docs.readthedocs.io/en/latest/cashflows.html but I
do not know quite where to start.

Thanks for any assistance,

-- Michael Megliola