yes. you can extend an existing calendar or just do something like c=Calendar(); c.addHoliday('6/6/6') https://leanpub.com/quantlibpythoncookbook/read
So my first impressions with QuantLib is that (a) it was easy to install and build for basic things (e.g. European/American option pricing) (b) I have no idea what's under the hood (c) custom products require serious hacking (no payoff language) (d) I probably need to hire a consultant for a few things
@sle are these first impressions good enough to continue spending effort on it? Or will you be looking around for alternative options (no pun intended)?
Well, it is, by the feel of it, about as good as any commercial library for my purposes. Of course, minus the the warm and fuzzy feeling of paying $120k/annum.
Actually, can someone guide me through a process of building a new payoff? I'll pay or buy you a steak dinner...
All right, I am officially confused with all of the design patterns in QuantLib. I was hoping to use one of the existing products to add a new one, but ...