Compounded Rates

[Andre Louw-2]

Hi,

I have a big need for a proper implementation of a compounded rate
termstructure. The proposal I have is as follows:

1) Given the current TermStructure, we need access methods for rates with a
supplied compounding frequency. I see these methods implemented in the
current TermStructure the same as the existing 'forward' methods with an
additional parameter specifying the frequency. An additional implementation
specific method is needed as well, something like 'compoundForwardImpl(Time,
int, bool extrapolate)'.

Additionally we need the following structures:
        1) CompoundForwardRateStructure, leaving the implementation of
compoundForwardImpl() to the programmer. It should implement discountImpl()
using a default discountfactor-bootstrapping methodology, to implement this
it would need to store the compounding frequency of it's rates.
        2) CompoundDiscountStructure, implementing compoundForwardImpl()
using a default reverse bootstrapping methodology on the supplied
compounding frequency.

2) Additionally it should be noted that a curve could be built up of rates
with mixed compounding frequencies, this could be solved by linking
different curves into one umbrella curve - this could be implemented in an
external structure (something like PiecewiseCompoundForward).

Please comment ASAP as I need to do this by YESTERDAY!

Thanx,

Andre
 
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[Luigi Ballabio-4]

Andre,
        unfortunately I can't give this much thought today, so I'm not sure that I
see the larger picture here. Given your time constraints, I think you can
go ahead as long as the other methods keep returning the same thing.

Nando? Others?

Later,
        Luigi

[Ferdinando M. Ametrano-2]

Luigi wrote:
>         unfortunately I can't give this much thought today, so I'm not
> sure that I see the larger picture here. Given your time constraints, I
> think you can go ahead as long as the other methods keep returning the
> same thing.
>
>Nando? Others?
it's OK for me.

Andre, in the medium term I would suggest you to create your own library
based on QuantLib, so that you can hack it as much as you like, and later
decide what to merge into QuantLib and what to keep proprietary. This is
the way I work, and I get the additional benefit of hiding my dirty stuff ;-)

ciao -- Nando