Re: [Quantlib-dev] Difference curves

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

Luigi,

Do you agree this approach makes sense only if both curves have the same
reference date? Or can you think of valid cases where that's not the case?

Thanks
Francois

On 31 Oct 2017 4:07 p.m., "Luigi Ballabio" <lui...@gm...> wrote:

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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>