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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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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QuantLib implements a mechanism for handling events which occur on specific dates. Examples of events could be cash flows or … The class Event represents a real life event is defined as an abstract base class from which a specific…
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In order to handle date intervals, QuantLib defines the Period class. This class stores an arbitrary time period corresponding to a full number of days. Periods can be constructed using an integer number and a time unit, or using a…
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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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