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On 09/13/2005 11:40:34 PM, Chuck Hinman wrote:
> We see a need in the near future to make copies of QuantLib objects
> (yield term structures currently) from a repository for the purpose
> of holding a yield term structure object constant during a large
> valuation of instruments while term structures in the repository is
> updated with new quotes. Can anyone tell me why the yield term
> structure classes have no copy contructor?
Chuck,
because the copy constructor semantics is ambiguous---indeed,
we should have disabled it altogether instead of letting the compiler
generate one. The problem is, should the copy constructor return a term
structure disconnected by the quotes used in the original, or one which
is linked to the same quotes? Both are legitimate expectations...
In the meantime, a workaround you can use is to clone the term
structure yourself. If you have a PiecewiseYieldCurve or
PiecewiseFlatForward instance (depending on how you store them, you
might have to downcast a YieldTermStructure) you can do it as follows:
DayCounter dayCounter = curve->dayCounter();
std::vector<Date> dates = curve->dates();
std::vector<DiscountFactor> discounts;
for (Size i=0; i<dates.size(); i++) {
discounts.push_back(curve->discount(dates[i]));
}
boost::shared_ptr<YieldTermStructure> clone(
new InterpolatedDiscountCurve(dates,discount,
dayCounter));
Later,
Luigi
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Newton's Law of Gravitation:
What goes up must come down. But don't expect it to come down
where you can find it. Murphy's Law applies to Newton's.
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