Tuesday, December 8, 2009

builder (not strictly) pattern in my own apps (quant

Update -- GDA functors...

For a given class, The more complex its construction, the more you need builders. Builders can deal with the most complicated object construction logic.

My quant object ForwardCurve construction takes a lot of inputs including yield curve, repo curve, dividend collection, dividend blending ... Each of these inputs are non-trivial quant objects, so it's sometimes cumbersome to pass all of them into a forwardCurve constructor. As an alternative, we use a builder class to _gather_ the inputs and then call myFwdBuilder.constructCurve().

With this builder, we have the flexibility to call myFwdBuilder.getCurve() any number of time.

We can also query the builder to get attributes that we can't put into the constructed ForwardCurve object. For example, the raw dividend input data should not be part of the fwd object. They are digested and  absorbed into the fwd curve in "digested" form.

Note one builder instance holds one curve + all the building materials for that one curve.

The volatility object construction is even more complex.

The Libor yield curve construction takes at least 3 series of rates (ED deposits, ED futures, swaps). So we use builders to manage the complex construction.

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http://www.linkedin.com/in/tanbin