[Quantlib-dev] Design question on virtual methods in QuantLib classes

[Luca B. <bao...@ti...>]

Hi all

I have a question regarding the declaration of some methods in QuantLib c=
lasses.

Before asking the question I would like to describe my problem. I'm tryin=
g
to integrate my QuantLib-based pricers and models in the position-keeping=

software being used in the bank where I work. 

This is what I would like to do: I would like to derive my position-keepi=
ng
software classes from QuantLib "basic" classes, like e.g. YieldTermStruct=
ure,
BlackVolTermStructure, CapVolatilityStructure, and so on. In such a way I=

would be able to trasparently use QuantLib classes in the code I write, w=
hen
porting my proprietary pricers and models to the bank position-keeping so=
ftware.

But there is a problem in doing so: I would take as an example the class
YieldTermStructure, yet the same issue could go for many other QuantLib c=
lasses
as well. Basically the class YieldTermStructure only requires that I writ=
e
the discountImpl() method, which take as input a year-fraction. BUT -unfo=
rtunately-
the position-keeping software APIs only allow to compute discount factors=

using dates (not year-fractions) as inputs.
I have temporarily solved this issue by writing a function converting a y=
ear
fraction to a date (once the day-counting convention has been specified).=

But this is somewhat "inelegant", and also inefficient for day-counters w=
here
a direct inversion formula could not be applied.

Neverthless, there could be a simpler approach: if YieldTermStructure met=
hods
were all declared as virtual (like it always happens in Java) I could red=
efine
in my derived classes all the methods I need to, without worrying about i=
f
the inputs I can use are dates or year-fractions. Unfortunately, however,=

YieldTermStructure (and many other similar classes) declare as virtual on=
ly
discountImpl(), and not the other methods like discount(), zeroRate(), fo=
rwardRate()
and so on.
Is there a rationale for not declaring all the methods in an "abstract" c=
lass
-like YieldTermStructure- as virtual?

Sorry if I was bit long.
Thanks in advance.

Luca





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