QuantLib credit derivatives

judo · October 4th, 2005, 12:44 pm

Started taking a good look at quantlib for a new project and it looks great. The lack of credit derivatives looks like a big gap, anyone know of any plans to include credit derivs and the timeframe.tks

madmax · October 4th, 2005, 2:01 pm

Unless you want to contribute it, you'll have to wait for someone to do it.I am considering that myself. I have coded a few things on CDS, CDS options and CDOs but was quick and dirty. I am currently thinking on going back through my code and put the stuff in Quantlib style and quality. But may be someone else will do it before.

twofish · October 4th, 2005, 3:37 pm

madmax: If you can get the code to me (see my web page) or post it on the wiki.quantlib.org. I'll see what it would take to get the package into quantlib. Rough code is better the no code and if we get it into the source tree, we can start getting people to clean it up. My expertise is in C++ more than QF, and working code written by someone who is far more familar with CDO's than I am would be really useful.

madmax · October 4th, 2005, 10:41 pm

twofish · October 5th, 2005, 2:35 am

You can do whatever works best for you, but its generally a good idea to publicize code as quickly as possible even if it is rough. The main reason is that having rough code in place means that everyone is working on the same code base and you don't have a situation were two people are working on CDO extensions to quantlib. Also code that goes through social review almost always ends up better than any one coder can get through.Personally, I'm interested in just looking at CDO code, even if it is rough and quick and dirty.

rak121982 · November 29th, 2006, 3:03 pm

I need a code for CDO for simulation purposes. Can u email it to me at rcjain@syr.edu

pywong · April 5th, 2007, 12:28 pm

Is there any more new development on this? Any alpha code available?

AndyNguyen · April 3rd, 2008, 1:26 am

I'm interested in any development in this as well