Re: [Quantlib-dev] Dates

[Dima <dim...@go...>]

Simon. Can you give a little example how this could look like for a simple
class?




2009/9/25 <s.i...@gm...>

> Hi folks,
>
> I've been looking at the QuantLib constructors and have a feeling that
> something better could be done regarding periods.
>
> Lots of the constructors have elements that ask for "number of days" or
> "day offset", then date rule and holiday calendar - sometimes for several
> different days - that it becomes confusing.
>
> For bonds (which I've helped in developing) the rules for ex-div days are
> complicated. Also, for FX the rules for determining the spot date from
> today's date or the expiry date from the settlement date can be exceedingly
> complicated.
>
> Why don't we have a DateOffset class (a base class) that can act as this
> function?
>
> So, when we need to obtain one date from another, we simply apply the
> DateOffset (which can contain a holiday calendar / many holiday calendars)
> to the initial date and obtain the relevant date - without needing to know
> what those rules are.
>
> These DateOffset objects could then be obtained from a relevant market
> (such as the LiborIndex objects we already have) and applied to a given
> instrument. This would be particularly useful for interest-rate and FX
> markets. For equity / credit markets (where there are a huge number of
> underlyings) this information would have to be derived externally to
> QuantLib - but the interfaces would be much cleaner.
>
> In other words, we decouple the market conventions from the instruments
> that are traded on those markets.
>
> I know that this would be a major project to apply throughout QuantLib, but
> that's no reason not to create this functionality and to encourage its use
> in new developments / changes.
>
> Thoughts please?
>
> Cheers,
> Simon
>
>
> Sent from my BlackBerry® wireless device
>
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