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Pricing: CMS spread.

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	Pricing: CMS spread. by Hachemi :: Rate this Message: Reply to Author \| View Threaded \| Show Only this Message Hi, Someone will be interested in the C + + implementation of a CDS spread pricing using QuantLib? Thanks - Hachemi ------------------------------------------------------------------------------ Register Now for Creativity and Technology (CaT), June 3rd, NYC. CaT is a gathering of tech-side developers & brand creativity professionals. Meet the minds behind Google Creative Lab, Visual Complexity, Processing, & iPhoneDevCamp as they present alongside digital heavyweights like Barbarian Group, R/GA, & Big Spaceship. http://p.sf.net/sfu/creativitycat-com _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users
	Re: Pricing: CMS spread. by Luigi Ballabio :: Rate this Message: Reply to Author \| View Threaded \| Show Only this Message On May 28, 2009, at 7:25 PM, Hachemi Benyahia wrote: > Someone will be interested in the C + + implementation of a CDS > spread pricing using QuantLib? Sorry, did you mean CMS or CDS? Luigi ------------------------------------------------------------------------------ Register Now for Creativity and Technology (CaT), June 3rd, NYC. CaT is a gathering of tech-side developers & brand creativity professionals. Meet the minds behind Google Creative Lab, Visual Complexity, Processing, & iPhoneDevCamp as they present alongside digital heavyweights like Barbarian Group, R/GA, & Big Spaceship. http://p.sf.net/sfu/creativitycat-com _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users
	Re : Pricing: CMS spread. by Hachemi :: Rate this Message: Reply to Author \| View Threaded \| Show Only this Message Sorry ...CMS 2009/5/28, Luigi Ballabio <luigi.ballabio@...>: > > On May 28, 2009, at 7:25 PM, Hachemi Benyahia wrote: >> Someone will be interested in the C + + implementation of a CDS >> spread pricing using QuantLib? > > Sorry, did you mean CMS or CDS? > > Luigi > > ------------------------------------------------------------------------------ Register Now for Creativity and Technology (CaT), June 3rd, NYC. CaT is a gathering of tech-side developers & brand creativity professionals. Meet the minds behind Google Creative Lab, Visual Complexity, Processing, & iPhoneDevCamp as they present alongside digital heavyweights like Barbarian Group, R/GA, & Big Spaceship. http://p.sf.net/sfu/creativitycat-com _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users
	Re: Re : Pricing: CMS spread. by Luigi Ballabio :: Rate this Message: Reply to Author \| View Threaded \| Show Only this Message On Fri, 2009-05-29 at 13:20 +0100, Hachemi Benyahia wrote: > > On May 28, 2009, at 7:25 PM, Hachemi Benyahia wrote: > >> Someone will be interested in the C + + implementation of a CMS > >> spread pricing using QuantLib? Yes, that would be nice. Luigi -- The First Rule of Optimization: Don't do it. The Second Rule of Optimization (For experts only): Don't do it yet. -- Michael Jackson ------------------------------------------------------------------------------ OpenSolaris 2009.06 is a cutting edge operating system for enterprises looking to deploy the next generation of Solaris that includes the latest innovations from Sun and the OpenSource community. Download a copy and enjoy capabilities such as Networking, Storage and Virtualization. Go to: http://p.sf.net/sfu/opensolaris-get _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users
	Re: Re : Pricing: CMS spread. by Eduardo Montoya :: Rate this Message: Reply to Author \| View Threaded \| Show Only this Message Some parts of this message have been removed. Learn more about Nabble's security policy. Yes, definitely. it would be nice to know how difficult it is to implement. can it be derived from CMSRateBond class? what parts of the implementation need to be changed, etc... > From: luigi.ballabio@... > To: hachemi.benyahia@... > Date: Wed, 3 Jun 2009 16:28:08 +0200 > CC: quantlib-users@... > Subject: Re: [Quantlib-users] Re : Pricing: CMS spread. > > On Fri, 2009-05-29 at 13:20 +0100, Hachemi Benyahia wrote: > > > On May 28, 2009, at 7:25 PM, Hachemi Benyahia wrote: > > >> Someone will be interested in the C + + implementation of a CMS > > >> spread pricing using QuantLib? > > Yes, that would be nice. > > Luigi > > > -- > > The First Rule of Optimization: Don't do it. > The Second Rule of Optimization (For experts only): Don't do it yet. > -- Michael Jackson > > > > ------------------------------------------------------------------------------ > OpenSolaris 2009.06 is a cutting edge operating system for enterprises > looking to deploy the next generation of Solaris that includes the latest > innovations from Sun and the OpenSource community. Download a copy and > enjoy capabilities such as Networking, Storage and Virtualization. > Go to: http://p.sf.net/sfu/opensolaris-get > _______________________________________________ > QuantLib-users mailing list > QuantLib-users@... > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ OpenSolaris 2009.06 is a cutting edge operating system for enterprises looking to deploy the next generation of Solaris that includes the latest innovations from Sun and the OpenSource community. Download a copy and enjoy capabilities such as Networking, Storage and Virtualization. Go to: http://p.sf.net/sfu/opensolaris-get _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users
	Re: Re : Pricing: CMS spread. by Luigi Ballabio :: Rate this Message: Reply to Author \| View Threaded \| Show Only this Message On Wed, 2009-06-03 at 21:51 +0200, Eduardo Montoya wrote: > Yes, definitely. > > it would be nice to know how difficult it is to implement. > can it be derived from CMSRateBond class? > > what parts of the implementation need to be changed, etc... I guess it rather depends on what model one wants to use (which in turn depends on the features one wants to add. For instance, do we floor the spread so that it's not negative?) But in any case, I wouldn't use inheritance from CMSRateBond, since it's a related but different kind of instrument. Luigi -- Everything can be filed under "miscellaneous". -- unknown ------------------------------------------------------------------------------ OpenSolaris 2009.06 is a cutting edge operating system for enterprises looking to deploy the next generation of Solaris that includes the latest innovations from Sun and the OpenSource community. Download a copy and enjoy capabilities such as Networking, Storage and Virtualization. Go to: http://p.sf.net/sfu/opensolaris-get _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users