An index is a value of a hypothetical portfolio or, more generally, a statistical measure for a collection of data points. Indices are usually fixed at specific dates. Individual fixings can be thought of as date-value pairs. In an abstract…
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In an earlier post I talked about day counters which are used yo calculate the day difference between two dates. Sometimes it is necessary to also keep track of weekends and holidays. This is particularly true when considering settlement dates…
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Financial analysis often involves the analysis of numerical data given at specific times. This data can consist of returns or exchange rates or any other quantity that varies with time. Such data is known as a time series and QuantLib…
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Coupons are special cash flows which accrue interest over a fixed period. There are many different types of coupons but they all share a number of properties. For this reason, the Coupon class defines a number of properties and operations,…
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In order to properly carry out financial calculations involving date intervals, day counting conventions have to be properly taken care of. In QuantLib, these are handled by a series of classes, all implementing the DayCounter interface. The DayCounter class defines…
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