In the previous post about QuantLib Pricing engines I talked about the basic functionality of pricing engines. These are implemented by the PricingEngine and the GenericPricingEngine class. These engines provide an interface and some basic functions but the actual calculations…
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Today I want to share a few “features” of C++ that you probably weren’t aware of. I placed the word features in quotes because most of them are confusing and there are only a few cases where they miht be…
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QuantLib uses random numbers in many places, such as in Pricing Engines to calculate the NPV of an instrument, in the Brownian Generator that is used in market-model simulations and in the Monte Carlo Model for path samples. In financial…
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In a previous post I discussed the abstract class TermStructure that defines methods common to any kind of term structure. It was pointed out that many classes inherit from the TermStructure class, including a class called YieldTermStructure. This class is, again,…
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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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