I have not had much experience with QuantLib, but from a brief look through the docs it doesn't necessarily seem suited to my task.

Consider a mortgage backed loan. There are various options on repayment but suppose

  • a fixed amortization amount
  • a fixed spread above floating interest rate payments

The recovered value at default is subject to the recognised price at foreclosure which depends on at least the property price drift (i.e. inflation over time) and the market dynamics (i.e. random element), and the loan to value, i.e. the likelihood the foreclosure value will recover the full outstanding loan balance.

Additionally there is an embedded option that the borrower can prepay down the notional which should obviously impact the price also.

So far I have been running simulation models, however, a use case has arisen where calculations might need to be provided in a simplified manner in excel, so I am also questioning whether QuantLibXL is a viable option for pricing this, since XL is suitable only for a very small number of numerically simulated scenarios.

Any recommendations or further advice on this specific problem. Perhaps QuantLib can approximate this via combining a set of vanilla objects??


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