Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/conventions-for-swap-tp7296p7297.html
On Wed, 2010-09-01 at 17:27 +0800, P Nelnik wrote:
> I'm building a interest rate curve using DepositRateHelper and
> SwapRateHelper.
> Is there an advised method of storing the conventions
> ( BusinessDayConvention, endOfMonth, DayCounter, fixingDays,
> swapFixedLegFrequency)?
One could write derived classes that hard-code the parameters, much like
we did for example with the Euribor class (which hard-codes parameters
in the Ibor class.)
> Though perhaps it would be nicer to read in the data at run-time, say
> from a data-base or even an xml flat file.
Yes, that's what I do. The DB one, I mean. I don't do it from C++,
though (I'm using the Python bindings.)
Luigi
--
Father's got the sack from the water-works
For smoking of his old cherry-briar;
Father's got the sack from the water-works
'Cos he might set the water-works on fire.
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