Re: [Quantlib-dev] Difference curves

[Luigi B. <lui...@gm...>]

Hi Francois,
    there's no such curve at this time.  Question: should this be an
interest-rate term structure or an inflation term structure?

Luigi


On Mon, Oct 30, 2017 at 10:29 AM Francois Botha <ig...@gm...> wrote:

> 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
>
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