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From: Deane_Yang_at_[hidden]
Date: 2001-07-01 14:19:14

> Here I'm kind of into this distinction. I'm hoping to propose
> a time/date library to boost which makes a big point about these
> distinctinctions (business day difference, versus calendar day
> versus TAI time difference etc.)

This is much more ambitious (and therefore much more useful!)
than anything I had in mind. I don't know if this is appropriate
for boost, but I would love to see a well-designed library
like this.

Still, I think it's a mistake to consider year-fractions computed
using a daycount convention as a measure of time.
This is how everyone on Wall Street sees it, and this creates
an amazing amount of confusion and incorrect implementations
in valuation models. I find myself having to explain the role
of daycount conventions very carefully to people who have worked
with and know bonds and their valuation far better than I do.

Have you, by any chance, looked at Quantlib,
which appears to be an open source effort at a financial
valuation library?

>...I would be interested in seeing what
> you have done.

Well, at this point it becomes embarassingly little, especially if
you use operators.hpp (My original implementations predated my
knowledge of boost and do not use operators.hpp.). I can probably
post the examples some time. They should be real short.


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