conventions for swap

[P Nelnik]

Good morning all,

 

I'm building a interest rate curve using DepositRateHelper and SwapRateHelper.

Is there an advised method of storing the conventions ( BusinessDayConvention, endOfMonth, DayCounter, fixingDays, swapFixedLegFrequency)?

 

If the conventions rarely change for each currency then I guess they could be hard-code.

Though perhaps it would be nicer to read in the data at run-time, say from a data-base or even an xml flat file.

 

No doubt I'm not the first to face this question.

What have other people done?

 

Thanks

Philip

 

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[MonkeyMan-3]

Most of the things you mention are consistent for each currency. I have put
many run time options in a json config file. I have been using json lately
instead of xml. I find that it is a little lighter and less bother than xml.
 Hope this helps.





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[Luigi Ballabio]

On Wed, 2010-09-01 at 17:27 +0800, P Nelnik wrote:
> I'm building a interest rate curve using DepositRateHelper and
> SwapRateHelper.
> Is there an advised method of storing the conventions
> ( BusinessDayConvention, endOfMonth, DayCounter, fixingDays,
> swapFixedLegFrequency)?

One could write derived classes that hard-code the parameters, much like
we did for example with the Euribor class (which hard-codes parameters
in the Ibor class.)

> Though perhaps it would be nicer to read in the data at run-time, say
> from a data-base or even an xml flat file.

Yes, that's what I do.  The DB one, I mean.  I don't do it from C++,
though (I'm using the Python bindings.)

Luigi


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Father's got the sack from the water-works
'Cos he might set the water-works on fire.



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