Re: CompoundForward

Posted by Ferdinando M. Ametrano-2 on Apr 30, 2002; 10:42am
URL: http://quantlib.414.s1.nabble.com/CompoundForward-tp10060p10061.html

At 01:25 PM 4/25/2002 +0200, Andre Louw wrote:
>I have a bit of a problem with the name compoundforward, essentially it
>bootstraps a strip of forwards of some compounding freq to a strip of
>discountfactors. These df's it then uses to get back to zeros and
>instantaneous forwards, so it seems it is more in the line of a
>DiscountStructure?
>In fact I have gone as far as inheriting from DiscountStructure and passing
>the implementation of zeroYield and forward to it. Haven't checked in yet,
>would like to hear yr comments first?
I think it could/should be just another constructor of the DiscountCurve class.

The TermStructure framework as I see it:

1st layer) QuantLib::TermStructure is the general interface

2nd layer) QuantLib::ZeroYieldStructure, QuantLib::DiscountStructure,
QuantLib::ForwardRateStructure are generic parameterizations of the
TermStructure in term of zero, discount, instantaneous forward
respectively. If someone needs a parameterization in term of discrete
forwards this could be the appropriate layer.

3rd layer) Here you are inside the QuantLib::TermStructures namespace. This
is the layer where you provide a functional form to your TermStructure,
e.g. piece-wise constant instantaneous forwards for
QuantLib::TermStructures::PiecewiseFlatForward, loglinear interpolated
discounts for QuantLib::TermStructures::DiscountCurve, etc.
Please note that in these two examples the functional forms are completely
equivalent, but one could think of cubic spline interpolated zeros, etc.
For sake of clarity I would even derive PiecewiseFlatForward from
QuantLib::ForwardRateStructure (now it derives from
QuantLib::TermStructure), just to stress that it is a third conceptual layer.
Every class in the third layer could (should?) easily provide 3
constructors based on a grid of discounts, zeros, forwards respectively,
whatever their parameterization and functional form are

In this framework CompoundForward could become just a specialized
constructor using discrete forwards of QuantLib::TermStructures::DiscountCurve

What do you think about this framework?

ciao -- Nando