RE: [Quantlib-dev] Basis point sensitivity

[Andre L. <An...@de...>]

Luigi,

Thanx, found the code in Instruments::Swap, what I'm actually looking for is
a bit more complicated. 
I'm basically looking at doing 2 things:

1) Splitting up the allocation of the sensitivity to the start, end, and
payment dates of the cashflow.
2) Having the option of expressing this sensitivity in terms of some other
basis (such as semi-annual), which makes comparison on different instruments
a walk in the park!

Is there anything like this in QuantLib, or, can I go ahead and do it? I
would prefer to impliment this on the Coupon/CashFlow, the accumulation
being handled inside the individual instruments?

I realise this is very sketchy, please yell if you need more info.

Andre

> -----Original Message-----
> From: Luigi Ballabio [mailto:lui...@fa...]
> Sent: 22 October 2002 12:04
> To: Andre Louw; QuantLibDev (E-mail)
> Subject: Re: [Quantlib-dev] Basis point sensitivity
> 
> 
> At 10:17 AM 10/22/02 +0200, Andre Louw wrote:
> >I'm looking at the CashFlow/Coupon/Instrument structure in 
> QuantLib and
> >missing something, sensitivity to the underlying termstructure?
> 
> Hi Andre,
>          there's an example in Instruments::Swap (or 
> SimpleSwap, I don't 
> remember). It could be made a method of Coupon or CashFlow 
> (but then you'd 
> still miss the accumulation part), or a function operating on 
> a vector of 
> CashFlows (but then one would have to rely on dynamic_cast), 
> or both (but 
> that would be a variation of the Visitor pattern [see QuEP 
> 7], so we might 
> be better off implementing it explicitly).
> 
> Thoughts, anyone?
> 
> Bye,
>          Luigi
> 
> 
 
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