Edit: The full parser is available for download here. In this little series we will explain how to code a simple expression parser in Java. Sometimes it is necessary to read user input, such as formula expressions, some simple markup,…
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Quotes are one of the most basic pieces of financial information. A quote is a value of any market observable. Quotes come in many shapes and forms and usually reflect the price at which a commodity traded. The Quote class in…
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Financial instruments are assets that can be traded and thus have a financial value attached to them. The value is usually expressed by the net present value (NPV) which is the financial value of the instrument at a given date….
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Previously, I have talked about indices and have looked at the Index class in QuantLib. In this article I will talk about a specialization of the Index class, the InterestRateIndex class. This class extends the basic Index with functionality that…
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Sometimes objects can act as intermediaries in a calculation. This means they receive data from one object, perform some operation on the data and provide the results to a third object. Such objects act as both observer and observable objects….
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The observer design pattern is a classic design pattern that lets objects, called observables, notify a number of dependant objects, called observers, when a change of the observable’s state occurs. This is often used in distributed event handling systems and…
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Dividends are a simple form of cash flows in which a predetermined amount of money is paid out at a specified date. There are two types of dividends, the fixed divided and the fractional dividend. The fixed dividend pairs out…
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QuantLib defines an abstract class called TermStrucure. This class defines the base for any kind of term structure. The TermStrucure class is inherited by a number of classes such as YieldTermStructure, InflationTermStructure or DefaultProbabilityTermStructure. The YieldTermStructure defines the base for all…
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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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