RE: Basis-point sensitivity and such

Posted by Andre Louw-2 on Oct 24, 2003; 4:03pm
URL: http://quantlib.414.s1.nabble.com/Basis-point-sensitivity-and-such-tp10397p10398.html

Luigi wrote:
> I did some refactoring of basis-point sensitivity calculation  
> and related classes. Could you check that everything works? (Or even  
> better, add a test).

Will do

> Also, could you document a bit your BPS-basket  
> calculation? For instance, why a subtraction in
> visit(FixedRateCoupon) instead of the addition in visit(Coupon)?

I will try my best on the documentation. At the coupon level (fixed or not)
it should be simple addition, the subtraction would then happen in the
instrument, depending on which cashflow is payed vs. received. I will fix
this.

>
> Warning: some interface has changed. In particular, I made the  
> TimeBasket class a whole lot slimmer. However, I kept all its  
> functionality---the differences are only in syntax....

Great, I will have a look

Thanx
Andre