RE: [Quantlib-dev] Credit Derivatives

[Toyin A. <toy...@ho...>]

Hi Naoufel,

Welcome to the club.

Looking forward in seeing your implementation, this is a much needed 
addition to the QuantLib library.

Best Regards,
Toyin Akin.

>From: Naoufel El Bachir <nao...@ya...>
>To: qua...@li...
>Subject: [Quantlib-dev] Credit Derivatives
>Date: Tue, 11 Oct 2005 01:00:01 +0100 (BST)
>
>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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