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

[Luigi B. <lui...@gm...>]

Hello,
    a series of SimpleCashFlows is a start but requires you to precompute
the amounts.  If they're based on fixed- or floating-rate notes, you might
consider using the corresponding classes instead (FixedRateCoupon or
IborCoupon) and offload some of the calculations.

Hope this helps.
    Luigi


On Fri, Feb 5, 2021 at 6:54 PM Michael Megliola <mic...@gm...>
wrote:

> 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
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