Re: [Quantlib-dev] seasonality for inflation term structures

[Ferdinando A. <na...@am...>]

Hi Chris

On Thu, May 1, 2008 at 10:01 AM, Chris Kenyon <chr...@ya...> wrote:
>     I don't favor using Quotes for seasonality data since seasonality
> should not be changing on short timescales (there are no market
> quotes - this is exactly why this feature was invented).
>    Comments anyone?

I understand your reasons but I am in favor of Quotes, especially
since they would be the main hook for sensitivity analysis, i.e. in
order to calculate sensitivity with finite differences you just tweak
the Quote value, recalculate the NPV of your portfolio, then restore
the original value.

The observability combined with the lazyness ensure optimal
performances and general easiness for this approach, which is probably
one of best features of the QuantLib design.

ciao -- Nando