Re: [Quantlib-dev] Risk Management with QuantLib

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

On Mon, 2009-08-03 at 11:40 +0200, Slava D wrote:
> I am trying to use QL to do Risk Management for a given portfolio.
>  
> I assume that QL has everything required for a proper RM system.
>  
> I feel that the approach chosen in QL for RM is a combination of
> Visitor and Observer design patterns.

Observer much more than Visitor, I'd say. You can probably perform RM
just using observability. Of course it depends on the methodology you're
using; but keeping a set of handles for the market observables, passing
them to the instruments/pricing engines, relinking them to new data
and/or scenarios, and asking the instruments for new prices should do
the trick.

Luigi


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