Re: [Quantlib-dev] Extending short-rate models for credit / inflation.

[<ja...@fr...>]

Is the problem that TSCM refers to a YTS rather than a TS?
Arguably ugly but could it help defaulting to the type used now: TSCM<TS_T=YTS> and the typedefs? it saves the existing code..... except for the T_ syntax to add, maybe thats what you meant.
And somthing similar for TermStructureFittingParameter.

Regards
Pepe

----- "Simon Ibbotson" <Sim...@fs...> a écrit :

> Hi,
> 
> 
> 
> I’m looking at extending the definitions in the short-rate models for
> credit (or inflation) purposes.
> 
> Problems arise with the TermStructureConsistentModel,
> TermStructureFittingParameters etc.
> 
> There are two possible approaches:
> 
> 
> 
> 1) Specialise using templates for the short-rate models.
> 
> 2) Specialise by adding to the TermStructure class.
> 
> 
> 
> The first method requires rewriting of many classes within a template
> structure – and specialising some of the class functions to return the
> survival probability instead of the discount factor. The second
> requires adding a function named oneFactorPrimitive() (or similar) to
> TermStructure which specialises using the standard C++ inheritance.
> 
> 
> 
> I’m leaning towards the second method as it is much simpler.
> 
> 
> 
> Any advice?
> 
> 
> 
> Simon
> 
> 
> 
> 
> 
> 
> 
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