Re: [Quantlib-dev] Heads up - Volatility model classes / Shanghai warrants

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

On 03/28/2006 08:09:22 AM, Joseph Wang wrote:
> Just a heads up.  I'm currently working on some C++ classes that =20
> convert quote time series information into a volatility time series.  =20
> I'm started with a dead simple model that does a constant weighting =20
> of terms, but eventually, I'm hoping to put in a GARCH model.

Joe,
	you might want to use the History class instead of your =20
TimeSeries structure. I don't think we need to duplicate the concept; =20
it is true that your structure is more generic in type, but using =20
Quotes is not going to give you any advantage over Reals unless the =20
client code registers as observer with all the contained quotes. =20
Moreover, History has more functionality.

Later,
	Luigi

P.S. On the other hand, I like your name better. If you decide to use =20
History, I think I'll rename it to TimeSeries...


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