Re: [Quantlib-dev] QuantLib developement

[Luigi B. <lui...@gm...>]

On 4/4/06, TB...@ao... <TB...@ao...> wrote:
> Hi Luigi,
>
> I did not get your reply for some reason, so I have subscribed to develop=
ers
> mailing list and
> I am resending my previous e-mail.

Yes, the mail I'm sending to your AOL address keep bouncing back. The
developers' list is the preferred place for discussion anyway.



> 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...

It looks kind of computationally intensive. How are discrete dividends
managed in practice and/or literature? Anyone, any references?

> 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.

Ok.

> 3) price Mortgage Backed Security.  In the case of the MBS, I am trying t=
o
> 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 Mo=
nte
> Carlo class.

I'll be committing shortly a contribution I received. It provides
processes based on Hull-White that can be used in a Monte Carlo model.
I'll let you know when they're available.

Later,
    Luigi