Re: [Quantlib-dev] Separating notification channels ?

[DU V. DE V. F. G. P. <fra...@ca...>]

Hi Luigi,



>> In our implementation market data and evaluation date changes are
>> propagated through the same channel (observers update methods).=20
>>=20
>> As we are properly trying to handle properly the evaluation date
>> changes this coupling is becoming more and more an hindrance (eg: the
>> Capstripper can no longer notifying lazily its observers).

>Can you elaborate? What is the problem?

The problem is mainly due to the fact that the CapsStripper structure is
creating some huge reconvergencies in the notification chain. (It
observes hundreds of Caps which all observe the same YC for example). As
a result I suggested to make the LazyObject propagate notifications
lazily.
The issue now comes from the fact that the reference date is managed in
the TermStructure from which the CapsStripper inherits. This class does
not notifiy lazily so we are back to the original problem: a change in
the market data triggers thousands of notification events (even millions
sometimes!).=20

Francois