Object-Oriented Model Design

Many bonds can share the same discount curve. Keeping that curve separate from the instruments makes a rate update easier to trace and test. This lesson separates market-data snapshots, model parameters and fixed contract terms. It uses composition to build a curve, a zero-coupon bond and a European call.

• separate market observables from model parameters in attribute design;
• implement a small curve object with a clear interpolation contract;
• compose an instrument that depends on a curve rather than subclassing the curve;
• explain when inheritance helps (shared interface) and when it obscures the model.

1. Encapsulation for market data versus parameters
2. A discount curve by composition
3. Instruments that use the curve
4. Inheritance — use sparingly
5. Design checklist for a quant class
6. Many instruments share one curve