Timeline for Valuing structured loans in QuantLib
Current License: CC BY-SA 4.0
19 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 27, 2020 at 15:32 | answer | added | David Duarte | timeline score: 1 | |
| S Sep 24, 2019 at 0:10 | history | bounty ended | Jose Pedro Melo | ||
| S Sep 24, 2019 at 0:10 | history | notice removed | Jose Pedro Melo | ||
| Sep 20, 2019 at 15:00 | vote | accept | Jose Pedro Melo | ||
| Sep 19, 2019 at 9:35 | answer | added | Luigi Ballabio | timeline score: 3 | |
| Sep 17, 2019 at 21:00 | history | tweeted | twitter.com/StackQuant/status/1174065627499302912 | ||
| S Sep 17, 2019 at 0:51 | history | bounty started | Jose Pedro Melo | ||
| S Sep 17, 2019 at 0:51 | history | notice added | Jose Pedro Melo | Authoritative reference needed | |
| Sep 15, 2019 at 20:29 | comment | added | Jose Pedro Melo | Yes, it's an example, I'm thinking how can one implement the pricing of project financing loans (with arbitrary cash flows) and still be able to use all the functionalities of the library, I.e. trees and montecarlo and so on | |
| Sep 15, 2019 at 18:58 | comment | added | Dimitri Vulis | You assume that the redemptions (amortizations) happen on coupon days, but I've seen loans where the notional way paid on arbitrary days in the middle of coupon period. The coupon paid in the ens of the period accrues on different notional amounts before and after. I've also seen loans whose notional increased through PIK or disbursements. | |
| Sep 15, 2019 at 17:22 | history | edited | Jose Pedro Melo | CC BY-SA 4.0 | added two examples |
| Sep 15, 2019 at 17:16 | history | edited | Jose Pedro Melo | CC BY-SA 4.0 | added two examples |
| Sep 15, 2019 at 0:03 | comment | added | Jose Pedro Melo | I see your point, i'll update the post with an example. | |
| Sep 13, 2019 at 2:42 | comment | added | Dimitri Vulis | It might be helpful if you listed the features of structured loans that you want to use to project the cash flows. For example, I remember an Indonesian loan where at every reset the issuer had the option: pay 3mo libor + spread in 3 months, or 6mo libor + spread and reset in 6 months. That's not what you meant, right? | |
| Sep 12, 2019 at 14:23 | history | edited | Jose Pedro Melo | CC BY-SA 4.0 | Spelling and details |
| Sep 11, 2019 at 20:49 | history | edited | Jose Pedro Melo | CC BY-SA 4.0 | added 3 characters in body |
| Sep 11, 2019 at 19:42 | comment | added | Jose Pedro Melo | Yes, for ALM purpose | |
| Sep 11, 2019 at 19:21 | comment | added | Alex C | FTP = Fund Transfer Pricing ? | |
| Sep 11, 2019 at 19:03 | history | asked | Jose Pedro Melo | CC BY-SA 4.0 |