Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Risk-Management-with-QuantLib-tp12900p12901.html
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
--
Greenspun's Tenth Rule of Programming:
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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