Install Quantlib
o Install Microsoft Visual Studio Community 2015 (2017 probably works too). Make sure
Visual C++ is included in the installation.
o Install boost 1.63.0 (1.66.0 probably works too). http://www.boost.org/
o Install Quantlib 1.12.
Installation instructions are available for Microsoft Visual C++ 2010 and later.
o Test the installation by running some programs.
As discussed in class, the Calendar implementation in Quantlib does not facilitate the upload of
holidays into a Market (using the same terminology as in Quantlib). In this assignment,
o Design and implement a BusinessCalendar
BusinessCalendar(std::string holidayfile, std::string market)
Sample usage:
Calendar CalHKEx = BusinessCalendar("C:\\temp\\Holiday.csv", "HKEx")
The holidayfile is a csv file containing a list of holidays for many Markets.
Holidays for Market HKEx have the first column with text “HKEx”.
CalHKEx should have all functionalities of calendar defined in Quantlib, for
example, CalHK as defined:
Calendar CalHK = HongKong()
A zip of all files under “QuantLib-1.12\ql\time” with “time” as the root directory.