Re: [Quantlib-dev] Difference curves

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

It will be an interest-rate term structure. I will generate my own
inflation term structure from this. There could be other,
non-inflation-related examples too where this could be helpful.

In fact, the CompositeQuote (for Quotes) is a good analogy of what I would
like to achieve, so maybe a CompositeYieldTermStructure is a good class
name? The user would be able to provide a BinaryFunction which operates on
the zero rates of the 2 inputs curves. Does that sound like it could add
value?

thanks

Francois Botha

On 30 October 2017 at 13:19, Luigi Ballabio <lui...@gm...>
wrote:

> 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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>