Risk Management with QuantLib

[Slava D]

guys,

 

I am trying to use QL to do Risk Management for a given portfolio.

 

I assume that QL has everything required for a proper RM system.

 

I feel that the approach chosen in QL for RM is a combination of Visitor and Observer design patterns.

 

a couple of questions:

 

1. how would you personally design RM based on QL

2. why do you need visitability for payoffs

3. why do you have visitability on vol surface term structures and not on other market data (say, yield curves)

 

many thanks,

 

Slava

 

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[Luigi Ballabio]

On Mon, 2009-08-03 at 11:40 +0200, Slava D wrote:
> I am trying to use QL to do Risk Management for a given portfolio.
>  
> I assume that QL has everything required for a proper RM system.
>  
> I feel that the approach chosen in QL for RM is a combination of
> Visitor and Observer design patterns.

Observer much more than Visitor, I'd say. You can probably perform RM
just using observability. Of course it depends on the methodology you're
using; but keeping a set of handles for the market observables, passing
them to the instruments/pricing engines, relinking them to new data
and/or scenarios, and asking the instruments for new prices should do
the trick.

Luigi


--

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Any sufficiently complicated C or Fortran program contains an
ad-hoc, informally-specified bug-ridden slow implementation of
half of Common Lisp.



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