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

[Wei Li <ttl...@gm...>]

Sure thing Luigi, I'll try to do that. Thank you for your explanation!

Cheers,
Wei

On Thu, Jan 18, 2024 at 11:08 PM Luigi Ballabio <lui...@gm...>
wrote:

> 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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>>>