Hey guys, thanks a million for the feedback! I actually really like the idea of just making the instruments (e.g. Bond) immutable, and then just creating new instances when I need to change something. I could create copy methods that would make it easy to spin up a new instance with generally the same attribute values (obviously with those attributes changed that I want to change).
Tom, I don't think I'm doing as much mixing and matching as to warrant a complete separation, but I think it might be good to provide a calculate method that accepts a pricing engine and an instrument for a quick override. Mauro, thanks for the link as well! I think I am doing something like that wrt kernel functions. Basically, if you call NPV or some other calculation request, it hits a "super" method of calculate that is able to determine if the instrument has been calculated. Then using multiple dispatch, it calls a perform_calculation method for the instrument passed in. That perform_calculation method does some preparation / pre-processing stuff then it calls the pricing engine's _calculate method. Is that basically the type of separation you are talking about? Thanks again for the feedback, this place is extremely helpful. Chris On Tuesday, February 2, 2016 at 10:42:32 AM UTC-5, Mauro wrote: > > > Christopher: I think it might make sense to break out TermStructure and > > pass it into your methods as an independent object. If you find > yourself > > "mixing and matching" pricing engines and term structures, then that > sounds > > to me like you should be making use of multiple dispatch. If a bond > always > > has the same pricing engine and term structure, then a parametric type > > might make more sense. It really comes down to whether the internal > types > > will need to change. > > It also occured to me that changing the PricingEngine underneath a Bond > and invalidating all the cached fields, like nvp below, is very error > prone. It is probably better to have it immutable to just make a new > instance once the PricingEngine changes. > > > On Tue, Feb 2, 2016 at 1:49 AM, Mauro <maur...@runbox.com <javascript:>> > wrote: > > > >> I haven't been following this thread closely, so I have no frame of > >> reference here, I'm like a child who wanders into the middle of a > >> julia-users thread... > >> > >> A few observations: > >> > >> - functions being called with composite types which have some > >> non-concrete fields suffer no performance penalty, as long as you > >> don't use those non-concrete fields > >> - if using a non-concrete field, you can use kernel > >> functions (aka barrier funciton): > >> > >> > http://docs.julialang.org/en/release-0.4/manual/performance-tips/#separate-kernel-functions > > >> The kernel fn could be what Tom suggested > >> > >> nvp(myBond) = isdefined(myBond, :nvp_val) ? myBond.nvp_val > :_nvp!(myBond, > >> myBond.pricingEngine) > >> > >> _nvp!(bond, pe:PricingEngine1) = ... # writes to nvp_val field and > returns > >> it > >> _nvp!(bond, pe:PricingEngine2) = ... > >> > >> On Tue, 2016-02-02 at 00:41, Christopher Alexander <uvap...@gmail.com > <javascript:>> > >> wrote: > >> > I've been trying to think of a way to implement this, but I'm having > some > >> > trouble. Perhaps this can be a discussion around organizing objects > in > >> > Julia to best exploit the benefits of multiple dispatch. Let's say I > >> have > >> > a Bond type: > >> > > >> > type Bond{P <: PricingEngine} > >> > # some attributes here > >> > pricingEngine::P > >> > end > >> > > >> > > >> > Then the particular PricingEngine object for each instantiation of > "Bond" > >> > has its own term structure (perhaps this could be stored with the > bond > >> > itself?). Each PricingEngine sub type (in my code PricingEngine is > >> > actually an abstract type itself) has its own calculation method, > where > >> > various components of the bond are calculated (e.g. NPV, etc). I > suppose > >> > this could be separated out, but I essentially want to provide to the > end > >> > user something like npv(myBond). The bond knows whether it's been > >> > calculated or not, and if it hasn't, it does so via its pricing > engine. > >> > Otherwise, it returns a cached value of its NPV (already having been > >> > calculated). If I break all of these things out (bond/instrument, > term > >> > structure, and pricing engine), I would envision a method like this: > >> > npv(bond, pricing_engine, term_structure) > >> > > >> > Is there a better/more "Julian" way to organize this? Perhaps > keeping > >> the > >> > TermStructure separate from everyone and passing it into methods > where I > >> > need it? > >> > > >> > > >> > On Monday, February 1, 2016 at 5:05:21 PM UTC-5, Tom Breloff wrote: > >> >> > >> >> Just so you realize... in this example "pricingEngine" has an > abstract > >> >> type, and you've possibly lost whatever performance gain you were > hoping > >> >> for in your original question. To solve you either need to take the > >> same > >> >> approach in defining and updating the Bond object, or maybe rethink > how > >> >> you're doing this. You should consider utilizing multiple dispatch > a > >> >> little more keep your PricingEngine and TermStructure separate: > >> >> > >> >> do_something(engine::PricingEngine, term::TermStructure) = ... > >> >> > >> >> > >> >> > >> >> On Mon, Feb 1, 2016 at 2:07 PM, Christopher Alexander < > >> uvap...@gmail.com > >> >> <javascript:>> wrote: > >> >> > >> >>> This doesn't seem to work if your PricingEngine object is attached > to > >> >>> some other object. Like, for example if you have: > >> >>> > >> >>> type Bond > >> >>> pricingEngine::PricingEngine > >> >>> end > >> >>> > >> >>> > >> >>> myPE = PricingEngine(4.5, 5.5, TermStructureA()) > >> >>> > >> >>> > >> >>> myBond = Bond(myPE) > >> >>> > >> >>> > >> >>> myPE = update_ts(myPE, TermStructureB()) > >> >>> > >> >>> > >> >>> At that point, myBond's pricing engine still points to the older > myPE > >> >>> with TermStructureA. > >> >>> > >> >>> On Monday, February 1, 2016 at 1:58:54 PM UTC-5, Christopher > Alexander > >> >>> wrote: > >> >>>> > >> >>>> So something like: > >> >>>> > >> >>>> function update_ts(pe::PricingEngine, newTS::TermStructure) > >> >>>> newPE = PricingEngine(pe.varA, pe.varB, newTS) > >> >>>> return newPE > >> >>>> end > >> >>>> > >> >>>> > >> >>>> myPE = PricingEngine(4.5, 5.5, TermStructureA()) > >> >>>> > >> >>>> > >> >>>> myPE = update_ts(myPE, TermStructureB()) > >> >>>> > >> >>>> You probably wouldn't be able to update the "myPE" object in place > >> right > >> >>>> (i.e. updating it in the actual update_ts method and then > returning > >> itself)? > >> >>>> > >> >>>> > >> >>>> On Monday, February 1, 2016 at 1:50:41 PM UTC-5, Tom Breloff > wrote: > >> >>>>> > >> >>>>> You could just construct a new object with the new TermStructure, > >> >>>>> instead of overwriting the old one. > >> >>>>> > >> >>>>> On Mon, Feb 1, 2016 at 1:27 PM, Christopher Alexander < > >> >>>>> uvap...@gmail.com> wrote: > >> >>>>> > >> >>>>>> Hello all, I have a question about the usage of parametric > types. I > >> >>>>>> know these bring about a performance boost (at least that was my > >> >>>>>> understanding), but I have a situation where I have a parametric > >> type > >> >>>>>> defined as such: > >> >>>>>> > >> >>>>>> type PricingEngine{T <: TermStructure} > >> >>>>>> varA::Float64 > >> >>>>>> varB::Float64 > >> >>>>>> ts::T > >> >>>>>> end > >> >>>>>> > >> >>>>>> > >> >>>>>> But then I need to actually swap the existing term structure > with > >> >>>>>> another subtype of TermStructure further down the road. Using > >> parametric > >> >>>>>> types, it complains because I guess it's locked in to using > whatever > >> >>>>>> TermStructure sub type is initially there when I instantiate the > >> >>>>>> PricingEngine type. Is there anyway to do such an update while > >> still using > >> >>>>>> a type parameter, or am I stuck just with a definition that uses > the > >> >>>>>> broader abstract type? > >> >>>>>> > >> >>>>>> Thanks! > >> >>>>>> > >> >>>>>> Chris > >> >>>>>> > >> >>>>> > >> >>>>> > >> >> > >> >
