Separation of Product and Model and Numerical Method

Introduction

The valuation library proposes the separation of financial products and models and numerical methods (as suggested in ISBN 0470047224).

For this, the library is structured in the following way:

• a hierachie of model interfaces related to asset classes/numerical methods with a 1:1 relation to a hierarchy of product interfaces related to asset classes/numerical methods with a multitude of models and products implementing these interfaces.
• A 1:n relation of model descriptors to model implementations and a 1:n relation of product descriptors to product implementations, with factories providing a unified way to construct the specific implementation of a specific numerical method from the given model or product descriptors.

For details on the hierachie of model interfaces and product interfaces see the section model and product interfaces.

For details on the model descriptors and product descriptors see the section model and product descriptors.