[Quantlib-dev] Generic date offset.

[Simon I. <s.i...@gm...>]

Hi folks,

I've been looking around in QuantLib and cannot find a generic DateOffset
class.
At present - when calculating the spot date, ex-div date or even just the
next date in a sequence - there are many different ways of doing this.

1) Use a Calendar, a Period and a BusinessDayConvention.
2) Use a Calendar and a fixed number of business days.
3) Use a fixed number of calendar days.
4) Use a specified Date.

I know that (2) and (3) can be replicated in (1), but there is a
proliferation of interfaces already in QuantLib. For instance, the parameter
"Natural settlementDays" is common, as is "Date settlementDate".

Also, what if the rules to create a date are not predictable... I'm
particularly referring to calculating the spot date (particularly for FX,
where the conventions are complex) or the ex-dividend date.

In addition, there are complex rules for calculating stub periods. E.g. For
an annual period: "Long last stub, if it doesn't exceed 18 months else short
stub".

In the current setup, the instrument needs to know the rules for calculating
these dates - rather than delegating them to a specific class.

Why isn't there a generic (base?) class for this type of functionality? I'm
guessing there is a reason, but it isn't obvious.

Cheers,

Simon