Basis point sensitivity

[Andre Louw-2]

Hi,

Please could someone clear this up for me.

I'm looking at the CashFlow/Coupon/Instrument structure in QuantLib and
missing something, sensitivity to the underlying termstructure?

Is this calculated somewhere else maybe?
        Inside the termstructure - this would make sense for calculating the
risk-factor on a specific discount factor,
        Inside the instruments specifically,
        Under another name/method, something else that can be manipulated to
give the same,
        Outside of Quantlib

I haven't seen anything and am quite willing to put some development effort
into this if needed.

André Louw
Decillion Limited - "Your Risk Is Our Domain"

Email: [hidden email]
Office: [phone]
Mobile: [phone]
Fax: [phone]

 
-------------------------------------------------------------------------
This e-mail is intended only for the use of the individual or entity named
above and may contain information that is confidential and privileged,
proprietary to the company and protected by law. If you are not the intended
recipient, you are hereby notified that any dissemination, distribution or
copying of this e-mail is strictly prohibited. Opinions, conclusions and
other information in this message that do not relate to the official
business of our company shall be understood as neither given nor endorsed by
it.

[Luigi Ballabio-2]

At 10:17 AM 10/22/02 +0200, Andre Louw wrote:
>I'm looking at the CashFlow/Coupon/Instrument structure in QuantLib and
>missing something, sensitivity to the underlying termstructure?

Hi Andre,
         there's an example in Instruments::Swap (or SimpleSwap, I don't
remember). It could be made a method of Coupon or CashFlow (but then you'd
still miss the accumulation part), or a function operating on a vector of
CashFlows (but then one would have to rely on dynamic_cast), or both (but
that would be a variation of the Visitor pattern [see QuEP 7], so we might
be better off implementing it explicitly).

Thoughts, anyone?

Bye,
         Luigi

[Andre Louw-2]

Luigi,

Thanx, found the code in Instruments::Swap, what I'm actually looking for is
a bit more complicated.
I'm basically looking at doing 2 things:

1) Splitting up the allocation of the sensitivity to the start, end, and
payment dates of the cashflow.
2) Having the option of expressing this sensitivity in terms of some other
basis (such as semi-annual), which makes comparison on different instruments
a walk in the park!

Is there anything like this in QuantLib, or, can I go ahead and do it? I
would prefer to impliment this on the Coupon/CashFlow, the accumulation
being handled inside the individual instruments?

I realise this is very sketchy, please yell if you need more info.

Andre

> -----Original Message-----
> From: Luigi Ballabio [mailto:[hidden email]]
> Sent: 22 October 2002 12:04
> To: Andre Louw; QuantLibDev (E-mail)
> Subject: Re: [Quantlib-dev] Basis point sensitivity
>
>
> At 10:17 AM 10/22/02 +0200, Andre Louw wrote:
> >I'm looking at the CashFlow/Coupon/Instrument structure in
> QuantLib and
> >missing something, sensitivity to the underlying termstructure?
>
> Hi Andre,
>          there's an example in Instruments::Swap (or
> SimpleSwap, I don't
> remember). It could be made a method of Coupon or CashFlow
> (but then you'd
> still miss the accumulation part), or a function operating on
> a vector of
> CashFlows (but then one would have to rely on dynamic_cast),
> or both (but
> that would be a variation of the Visitor pattern [see QuEP
> 7], so we might
> be better off implementing it explicitly).
>
> Thoughts, anyone?
>
> Bye,
>          Luigi
>
>

 
-------------------------------------------------------------------------
This e-mail is intended only for the use of the individual or entity named
above and may contain information that is confidential and privileged,
proprietary to the company and protected by law. If you are not the intended
recipient, you are hereby notified that any dissemination, distribution or
copying of this e-mail is strictly prohibited. Opinions, conclusions and
other information in this message that do not relate to the official
business of our company shall be understood as neither given nor endorsed by
it.