[Quantlib-dev] dates() accessor in YieldTermStructureHandle

[Fabrice L. <fab...@qu...>]

Hi all,

 

I've run into an "inheritance issue" for which I'm uncertain of the way
forward. Note that I'm using QuantLib in C# through SWIG.

 

I'm building a set of yield curves (PiecewiseYieldCurve) of various flavors:
some are inheriting InterpolatedDiscountCurve, some from
InterpolatedZeroCurve, etc.

In order to use those curves  as exogenous discounting curves for other
calibration instruments (SwapRateHelper for instance) and to be able to
store them all in a single place, I store them in a Dictionary<string,
YieldTermStructureHandle>. 

I also want to be able to display them using dates, not times, as the pillar
points. While I can call discounts() on YieldTermStructureHandle, the
dates() accessor is unavailable, because it is not defined in
YieldTermStructure. It doesn't seem that I can dereference the handle (I'm
in C#) and downcast the YieldTermStructure to a PiecewiseYieldCurve that I
could query for dates.

Furthermore, in C++ the dates() accessor is never defined as a virtual
function of a base class, despite being present in all the classes
inheriting from InterpolatedCurve<Interpolator>. I realize this would not
solve my issue, but maybe a DateInterpolatedCurve class, between
InterpolatedCurve and say InterpolatedDiscountCurve, which would hold
mutable std::vector<Date> dates_ and const std::vector<Date>& dates() const;
would make sense.

 

What's the best way forward in order for me to be able to retrieve the
pillar dates of those curves while retaining the capacity to store them all
under one base class handle type regardless of their "flavor"?

 

Regards,

Fabrice Lecuyer