do think that there's way too many constructors. Make them factory
can also reuse them for different term structures. Or full-featured factories.
>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
>
>
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