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RiskyBond
by Calvin Lai
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Hi,
I am trying to implement the modeling of a riskbond (ie. non-zero probability of default). Any comments? So far I have updated my local files for coupon and bond classes to accommodate the Issuer in a bond. Also, I am also planning to add the principal payments as cashflow entries in a Leg. Currently it seems no principal repayments are added. Again, comments are welcome. Regards, Calvin ------------------------------------------------------------------------- Sponsored by: SourceForge.net Community Choice Awards: VOTE NOW! Studies have shown that voting for your favorite open source project, along with a healthy diet, reduces your potential for chronic lameness and boredom. Vote Now at http://www.sourceforge.net/community/cca08 _______________________________________________ QuantLib-dev mailing list QuantLib-dev@... https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Re: RiskyBond
by Simon Ibbotson
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Hi Calvin,
I've done this (amortising bonds and risky bonds/engine), and will submít the code as soon as I return from holiday. All the best, Simon On Fri, Jul 4, 2008 at 4:09 PM, Calvin Lai <cyk.lai@...> wrote: Hi, ------------------------------------------------------------------------- Sponsored by: SourceForge.net Community Choice Awards: VOTE NOW! Studies have shown that voting for your favorite open source project, along with a healthy diet, reduces your potential for chronic lameness and boredom. Vote Now at http://www.sourceforge.net/community/cca08 _______________________________________________ QuantLib-dev mailing list QuantLib-dev@... https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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