Quantlib design

Posted by Henaff, Patrick on Dec 23, 2000; 6:47pm
URL: http://quantlib.414.s1.nabble.com/Quantlib-design-tp1657.html

I read with great interest the documentation for quantlib. We have recently
completed a rather large project in the same vein, but dealing with
commodities rather than fixed-income. The basic design issues are identical,
however. Based on this experience, may I venture a few suggestions to the
designers:

It would be useful to publish a white paper describing the object model for
trades, instruments, market data and models. In our own project, we
benefited from Martin Fowler's book, "Analysis Patterns". In particular
chapters 3, 9, 10 and 11 provide an extremely well thought out blueprint for
a project of this nature.

I may have misunderstood the documentation, but as I read it, I see, for
example, "London" to be a subclass of "Calendar". In our project, this would
be an instance of Calendar, not a subclass. Same remark for day counts,
currencies. We have made extensive use of the design patterns described by
the "gang of 4". In particular, we systematically use the factory pattern to
instantiate objects. Thus, we have a currencyFactory, calendarFactory, etc.

Early traffic on the mailing list involves discussions on basic programming
constructs. It might be helpful to build quantlib on top of a general
purpose class library (e.g. Qt), which would provide a de-facto standard for
many low-level idioms.

Best wishes.