[Quantlib-dev] QuantLib developement

[<TB...@ao...>]

 
Hi Luigi,
 
I did not get your reply for some reason, so I have subscribed to  developers 
mailing list and 
I am resending my previous e-mail.
 
I want to do some further Quantlib development on the following:
 
1) extend the convertible bond engine to include discrete  dividends.   I 
have an idea which involves recursion but which is  okay if you have program in a 
non OO approach, but in Quantlib where its  strongly OO it may be a bit 
tricky but essentially we would need to construct a  separate tree for each 
dividend date work out the call values and compare with  early exercise of (adjusted 
spot by divided -strike) and eventually all these  vector of call values 
become the call values of the previous dividend date which  in a way will join the 
separate trees.  For each of the separate trees you  may need to store or 
apply call or putable features, coupon payments 
 
2) extend the convertible bond engine to allow cater for partial recovery  of 
bond
and stock price going to 0 or partial recovery of stock  if there is a  
default.
 
3) price Mortgage Backed Security.  In the case of the MBS, I am  trying to 
work out
how a hullwhite short rate model can be modelled using Monte Carlo in  
Quantlib.  Its not
very clear how the dynamics of the short rate process can be passed to  Monte 
Carlo class.
If it was a stock process then fine.
 
 
Regards
 
Theo