[Quantlib-dev] Difference curves

[Francois B. <ig...@gm...>]

Hi,

I have two YieldTermStructures representing a nominal and real yield curve
and would like to generate a new YieldTermStructure based on the difference
of zero rates (NACC) between them to represent the market expectation of
inflation.

How would I calculate this currently? I can't find a YieldTermStructure
subclass that does this. Alternatively, if I can find a YieldTermStructure
that "negates" another YieldTermStructure, I would be able to use it as a
spread.

If this isn't currently possible, I'd be happy to submit a PR, but I would
like some help on what to call these new classes.

thanks
Francois Botha