Re: [Quantlib-dev] SmileSection

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

On Tue, Oct 20, 2009 at 2:46 PM, Chris Kenyon <chr...@ya...> wrote:
> Exercise time, for inflation,
> could mean time-for-volatility-to-build-up OR
> time-from-referenceDate()-to-exercise.  For interest rates these are the
> same.  Having exercise time virtual gives more possibilities for descendants
> to change things.  At a pinch I could make do with only varianceImpl(Rate
> strike) as virtual.

mmm... I'm not familiar enough with inflation to really challenge your
proposal, so for me it's OK.

Anyway I wonder if we might reserve exerciseTime for
time-from-referenceDate()-to-exercise and then deal with
time-for-volatility-to-build-up in volatilityImpl / varianceImpl.
Would this choice make your code more complex or unnatural ?
I.e. add a varianceTime (time-for-volatility-to-build-up) when it is
not equal to exerciseTime (time-from-referenceDate()-to-exercise)

ciao -- Nando