QuantLib: Dates
In order to process financial data, we need to have an efficient way of dealing with dates, time periods and calendars. QuantLib provides a range of classes in order to help in this task. The most fundamental class is the…
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Monthly Archive: September 2012
QuantLib: Automatic Conversion with the Exchange Rate Manager
In earlier posts I have talked about the Money class and ExchangeRates. Exchange rates allow you to exchange money between two currencies. They are also involved in calculations involving money of different currencies. Consider the following code. Money::conversionType = Money::AutomatedConversion;…
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QuantLib: Exchange Rates
In the previous article I spoke about Money. QuantLib supports calculations with Money of different currencies. In order to compute an expression with different currencies, exchange rates have to be defined. This is handled by the ExchangeRate class. This class…
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QuantLib: Money
In the previous article the Currency class was introduced, which defines all the relevant information associated with a currency. The Money class packs a Currency object together with a Decimal to define an amount of money in a specific currency….
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