Re: [Quantlib-dev] Difference curves

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

It could add value, but then again, I haven't seen many uses of
CompositeQuote these past few years :)
If all you need is the difference, I'd start with that---unless you
estimate that the additional work to make it generic is not much.

Later,
    Luigi


On Mon, Oct 30, 2017 at 4:54 PM Francois Botha <ig...@gm...> wrote:

> 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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>