Re: [Quantlib-users] Discount Method

[Michael (D. portal) <mi...@da...>]

Hi Luigi:

Thanks for getting back to me!

To be specific, we use QuantLib for mortgage bond pricing e.g. calculate
yields, spreads, durations given mortgage performance inputs (e.g.
prepayments or default vectors). This works quite well for static metrics
that rely on a single yield curve input. But we also would like to
calculate option adjusted measures (e.g. OAS - option adjusted spread) that
require inputs of many yield curves (e.g. with high/lower rates leves,
flatter/steeper curve shapes).

So a few specific questions I have are as follows:

1. What is the best way to generate option adjusted metrics (e.g. OAS) in
QuantLib if user inputs yield curves with associated probabilities?
2. Can QuantLIb generate future yield curves with associated probabilities
based on current structure of term structure of interest rates and
volatility surface?
3. What is the best way to retrieve the yield curve details for cash flows
calculations (e.g. monthly discount factors for 360 months which is a
typical number of cash flows for a mortgage bond)? We tried a *discount*
method for each month separately but it takes too long.

Thanks,

Michael

On Fri, May 3, 2024 at 4:06 AM Luigi Ballabio <lui...@gm...>
wrote:

> Hi Michael, apologies for the delay. I'm not sure what's the most
> effective way to do this.  Well, no, scratch that—the most efficient way
> would be to do it in C++.  From Python, if you have a process available
> (such as HullWhiteProcess, for instance) you can use the available
> PathGenerator class.  What kind of simulation do you have in mind?
>
> Luigi
>
>
> On Sat, Apr 20, 2024 at 5:49 PM Michael (DataDriven portal) <
> mi...@da...> wrote:
>
>> Hi Luigi:
>>
>> Thank you for getting back to me!
>>
>> What is the most efficient way to do Monte Carlo simulations in QuantLib
>> when I need to obtain multiple paths of yield curves for different
>> scenarios (they do not have to be vectors of DFs but could be FRAs or any
>> other rate metrics)?
>>
>> Thanks,
>>
>> Michael
>>
>> On Sat, Apr 20, 2024 at 10:59 AM Luigi Ballabio <lui...@gm...>
>> wrote:
>>
>>> Hello Michael,
>>>     no, I'm afraid vector methods are not available.
>>>
>>> Luigi
>>>
>>>
>>> On Sun, Apr 14, 2024 at 8:30 PM Michael (DataDriven portal) <
>>> mi...@da...> wrote:
>>>
>>>> Hi All,
>>>>
>>>> I am using a *discount* method on a curve to get a discount factor for
>>>> a given maturity (like in shown in the Cookbook below). But I need to
>>>> output discount factors for all monthly cash flows of a bond (in my case
>>>> 360 cash flows) so it is time consuming to call the *discount* method
>>>> 360 times.
>>>>
>>>> Is there a way to get all discount factors (for all cash flows - 360 in
>>>> my case) in a single call to a curve by passing all maturity dates (e.g. in
>>>> a list) to speed up the calculations?
>>>>
>>>> Thanks,
>>>>
>>>> Michael
>>>>
>>>> [image: image.png]
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>>>>
>>>