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Re: Date

Posted by Ferdinando M. Ametrano-2 on Feb 08, 2002; 3:40am
URL: http://quantlib.414.s1.nabble.com/Date-tp1865p1867.html

Hi Ben

>Im currently working on a bond class, which I'll mail to this list when
>completed.  I was wondering what is the best way to deal with dates.  At
>any given time, the current date matters (for instance with regards to
>calculating NPV.)
My 0.2$: yes, the current date matters for pricing, but does not belong to
the bond class itself.
The current date is already contained by any term structure instance, it
could be provided as input to a duration() method, but should not be a data
member.

>Im also working on a seperate 'engine' for DV01 hedging, mainly as an
>educational exercise, but i was wondering if this was something which
>could perhaps be included?
It is of interest, but once again I wouldn't like it linked to the bond class.
In a more general framework there could be specialized hedging objects able
to perform hedge analysis on a given instrument (or deal, or portfolio)
using a given curve

Looking forward to your contribution

ciao -- Nando