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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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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The visitor design pattern is one of the classic software design patterns. It solves the problem of calling different functions for each objects of different types in a polymorphic collection. Imagine a type hierarchy. class Base; class DerivedA : public…
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