[Quantlib-users] 2 factor rate model for CMBS OAS

[philippe h. <pha...@ma...>]

Working on an OAS model for CMBS whereby the slope of the yield curve (say 2’s-10’s) is a primary driver of certain cash flow speeds in the prepayment model. As a result, I would need a model that can decorrelate short tenors versus longer tenors. This points to at least a two factor model but probably more HJM/LMM type. Does QuantLib have any such model, and if so is there a calibration module for such model where I’d pass swaption vol grids? I’d be ok with ATM only although ability to model skews a plus.
I use the Python interface as an additional constraint.
Please LMK. 

Regards

Philippe Hatstadt
+1-203-252-0408