Copy issues

[Stefano Portolan]

Hello to everybody,

I would like to throw kind of a general question.

I am bootstrapping my discounting and forwarding curves in order to price something (let's say a swaps as in QuantLib example). If I have instanciated a PiecewiseYieldCurve class and have it stored either as a pointer (boost::shared_ptr<QuantLib::YieldTermStructure> ( new QuantLib::PiecewiseYieldCurve<QuantLib::Discount,QuantLib::Cubic>( etc... )) or as the class itself, can I safely copy it in the case I want to change a pillar and compare the old with the new result?

I guess that if I use the operator= or the copy constructor I should perform a shallow copy only.
Am I wrong?

Does anyone has ever though of how to perform a complete deep copy of it?

More troublesome.
If I bootstrap within a multi-curve framework I can give the RateHelper the discounting curve as an input parameter of its constructor. Ok, but this is a Handle, which means that if I copy the RateHelper I am copy the Handle and not the resource the Handle is pointing to. Right?

Thanks in advance for sharing your knowledge.
Best.
Stefano

[Luigi Ballabio]

Hello Stefano,

    you're correct on both counts.  The copy constructor of PiecewiseYieldCurve will just perform a shallow copy. If you want to perform comparisons, you're better off building two identical curves.  And if you copy a RateHelper, you're just copying the Handle, so the copy will still point to the same discounting curve. That's part of the point of using the Handle: if the curve changes, all the helpers can see the change. 

Luigi

 

On Thu, Nov 13, 2014 at 12:10 PM, Stefano Portolan <[hidden email]> wrote:

Hello to everybody,

I would like to throw kind of a general question.

I am bootstrapping my discounting and forwarding curves in order to price
something (let's say a swaps as in QuantLib example). If I have instanciated
a PiecewiseYieldCurve class and have it stored either as a pointer
(boost::shared_ptr<QuantLib::YieldTermStructure> ( new
QuantLib::PiecewiseYieldCurve<QuantLib::Discount,QuantLib::Cubic>( etc... ))
or as the class itself, can I safely copy it in the case I want to change a
pillar and compare the old with the new result?

I guess that if I use the operator= or the copy constructor I should perform
a shallow copy only.
Am I wrong?

Does anyone has ever though of how to perform a complete deep copy of it?

More troublesome.
If I bootstrap within a multi-curve framework I can give the RateHelper the
discounting curve as an input parameter of its constructor. Ok, but this is
a Handle, which means that if I copy the RateHelper I am copy the Handle and
not the resource the Handle is pointing to. Right?

Thanks in advance for sharing your knowledge.
Best.
Stefano



--
View this message in context: http://quantlib.10058.n7.nabble.com/Copy-issues-tp16026.html
Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------
Comprehensive Server Monitoring with Site24x7.
Monitor 10 servers for $9/Month.
Get alerted through email, SMS, voice calls or mobile push notifications.
Take corrective actions from your mobile device.
http://pubads.g.doubleclick.net/gampad/clk?id=154624111&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

------------------------------------------------------------------------------
Download BIRT iHub F-Type - The Free Enterprise-Grade BIRT Server
from Actuate! Instantly Supercharge Your Business Reports and Dashboards
with Interactivity, Sharing, Native Excel Exports, App Integration & more
Get technology previously reserved for billion-dollar corporations, FREE
http://pubads.g.doubleclick.net/gampad/clk?id=157005751&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users