Cross-currency swap about quantlib.jl HOT 2 OPEN

Thanks @EricForgy! I haven't gotten to cross-currency swaps yet, but I will definitely take into account that design flaw in QuantLib itself (I wasn't aware of it). I'm curious about the units that you mention, do you have a separate type for that?

from quantlib.jl.

Hi @pazzo83 ,

I'm curious about the units that you mention, do you have a separate type for that?

I've been thinking of this problem for a while and it recently came up on julia-users group here:

• Unitfil.jl for physical units

For the time being, I decided not go that route, i.e. implement each unit as a type and handle dispatch through parameters, and instead implemented a type:

Units = Union{Currency,Identifier}
type Holding{Q<:Number,U<:Units}
    quantity::Q
    units::U
end
Holding() = Holding{Int64,Currency}(0,HKD)
Holding(quantity,units) = Holding{typeof(quantity),typeof(units)}(quantity,units)

My Currency type is an enum, so I would define

hkd = Holding(1,HKD)

and then define arithmetic operators so that

julia> 10hkd
Holding:
  Quantity: 10
  Units: HKD

julia> 10hkd + 20hkd
Holding:
  Quantity: 30
  Units: HKD

julia> 10hkd + 5usd
ERROR: Unit mismatch

I haven't done any benchmarking yet, so I don't know if this is a horrible idea, but at least I'm able to make progress :)

from quantlib.jl.