Re: [Quantlib-dev] Difference curves

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

Yes, they should probably have the same reference date.  The same day
counter would make the implementation easier, but you can probably make it
work even with different ones.

Luigi


On Sun, Nov 12, 2017 at 8:48 AM Francois Botha <ig...@gm...> wrote:

> 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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>>>
>>
>