[Quantlib-dev] Credit Derivatives

[Naoufel El B. <nao...@ya...>]

Hi,
 
I have just subscribed to this mailing list. I am a PhD student in Finance working on default correlation modeling with stochastic default intensities. I have been learning C++ for the last 2-2.5 years.
 
I am interested in extending Quantlib for Credit Derivatives. For a start, I was thinking about writing code for CDS, term structures of default intensities, defaultable bonds, other related stuff, CDS options (Black type formula with term structure of default intensities + some short rate models for the default intensities...) and CDO tranches. I already have some pieces here and there.
 
I will start working on a proposal next week, and keep you posted on progress. Any suggestions or ideas are welcome.
 
Naoufel


		
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