[Quantlib-dev] Lazy Calibration Helper

[Peter C. <pca...@gm...>]

Hi Luigi,

if I understand it correctly a CalibrationHelper observes its market 
data and triggers the market price calculation every time this data 
changes directly via the update() method. Doesn't that mean that the 
yield term structure feeded into a calibrationhelper will effectively 
loose its lazy behaviour? At least I have code that makes problems and I 
think the reason is exactly this. My solution would be as follows:

Make the CalibrationHelper lazy by virtual inheritance to Observer and 
LazyObject by defining:

class CalibrationHelper : public virtual Observer, public Observable, 
public virtual LazyObject {

...

void performCalculations() const {
    marketValue_ = blackPrice(volatility_->value());
}

void update() {
    LazyObject::update();
}

//! returns the actual price of the instrument (from volatility)
Real marketValue() const { calculate(); return marketValue_; }

...

This solves my problem. The testsuite seems to run with that change 
without problems.

What do you think ? Good idea or bad idea ?

Thanks a lot and kind regards
Peter