Re: Basis point sensitivity
Posted by Luigi Ballabio-2 on Oct 22, 2002; 4:05am
URL: http://quantlib.414.s1.nabble.com/Basis-point-sensitivity-tp10157p10159.html
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