Re: [Quantlib-dev] Some thoughts.

[Luigi B. <lui...@gm...>]

On Thu, 2008-03-06 at 18:10 +0000, a akpitidis wrote:
> I tried to add to 8.0 the CAD vanilla swaps for the curve building and
> i came across with some design issues, mainlly because i don't want to
> change existing modules of the library.  However, i want to reuse most
> of the core code.
>  
> In my mind someone who wants to extend a library shouldn't have to
> change existing files, but the library needs to provide the
> appropriate hooks (i.e. interfaces, template classes/functions  and so
> on).

We all agree here. However...

> At the same time, as we all know, that takes time and effort, and in
> the main time the DIY solution fits most clients :).

It's not just that. Generalization can be applied if one knows in what
direction to generalize. For instance, until you wrote about your
problem, I wasn't aware of the CAD convention, not could I have imagined
it. Since early generalization risks going in the wrong direction and
burdening the code with unused abstractions, I prefer waiting for use
cases such as yours and generalize based on actual need.


> Here are some sugestions for the future:
>  
> 1. Create a template class VanillaSwapG ( G for generic), the
> coupontype should be the template parameters and they should be
> propagated down to the construction of the floating leg.
>  
> 3. Those template arguments should be propagated upwards to
> MakeVanillaSwap and SwapRateHelper.

Does your coupon's constructor take the same number of arguments as the
existing IborCoupon? Otherwise, one would also have to generalize coupon
creation so that it has a common interface (we'd probably need some kind
of factory.)


> 4. Finally, i need to be able to hook my own code into the 
> SwapRateHelper::initializeDates  as i need to set the custom floating
> leg tenor, which is different from the index tenor.  Then again that
> extra information needs to come from somewhere, but then i need to
> have my new SwapRateHelper class, but i don't want to copy existing
> code.

This kind of hook is already provided by the language. You can inherit
from SwapRatehelper and override SwapRateHelper::initializeDates (you
don't need to copy any code; you can call the parent-class method after
executing the CAD-specific code.) The extra data can go in the derived
class.

Luigi


-- 

It is always the best policy to tell the truth, unless, of course, 
you are an exceptionally good liar. 
-- Jerome K. Jerome