Re: [Quantlib-users] Deep copying a term strucuter/vol survace?

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

Hello,
    there's no such class at this time, but it can be written in much the
same way as ZeroSpreadedTermStructure, so that it takes a handle to a
generic vol structure and adds the spread.  In fact, it would be great if
you contributed it.

Cheers,
    Luigi


Il Mer 17 Gen 2024, 04:26 Wei Li <ttl...@gm...> ha scritto:

> Hello Luigi,
>
> Thank you for your reply. I actually discovered
> the ZeroSpreadedTermStructure after my original post, and I think it can
> solve half of my problem. The other half is for the volatility surfaces. We
> have our derived class from BlackVolatilityTermStructure to store the smile
> sections, as well as a constant spread handle. And it is this class that we
> are caching (in the cache the spread value now is 0). And now we need to
> assign different spreads to different trades. So is there an equivalent
> class for spreaded BlackVolatilityTermStructure? If not , I guess I can
> modify our derived class .
>
> Cheers,
> Wei
>
> On Tue, Jan 16, 2024 at 6:31 PM Luigi Ballabio <lui...@gm...>
> wrote:
>
>> Hello,
>>     shallow copy is the C++ default, and I'm afraid we never bothered
>> with deep copy since most of the time ters structures are passed around by
>> shared_ptr anyway.
>> If BASE_TS is your derived class, you can implement a copy constructor.
>> Otherwise, do you really need a copy to add a spread?  As an alternative,
>> you might pass around your original base term structure and add a constant
>> spread by means of a class like ZeroSpreadedTermStructure (see
>> https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/yield/zerospreadedtermstructure.hpp
>> ).
>>
>> Hope this helps,
>>     Luigi
>>
>>
>> On Tue, Jan 2, 2024 at 6:55 AM Wei Li <ttl...@gm...> wrote:
>>
>>> Dear all,
>>>
>>> Happy new year to all!
>>>
>>> In our c++ project we are caching our term structures / vol surfaces
>>> calibrated from real time market data.  And during the calculation we need
>>> to assign different spread values for different trades. For example, for
>>> TRADE_A, the risk free term structure would be BASE_TS with a constant 0.01
>>> spread, and for  TRADE_B, it would be the same BASE_TS with a constant 0.02
>>> spread. And we are caching BASE_TS since it makes only sense to us (we have
>>> our derived classes of YieldTermStructure and VolTermStructure to add the
>>> spreads, in case you were wondering).
>>>
>>> But how can I make a deep copy of BASE_TS and use this copy with
>>> arbitrary spread values to the calculation? I tried the (default) copy
>>> constructors of the classes and they are apparently shallow-copied. So how
>>> can I achieve this? It doesn't need to be the deep copy of the bases, it
>>> can also be the deep copy of the shared_ptr / handle, as long as it does
>>> the trick.
>>>
>>> Thank you very much!
>>>
>>> Cheers,
>>> Wei
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>>