Re: Heads up - Volatility model classes / Shanghai warrants

Posted by Luigi Ballabio on Mar 28, 2006; 7:36am
URL: http://quantlib.414.s1.nabble.com/Heads-up-Volatility-model-classes-Shanghai-warrants-tp11046p11047.html

On 03/28/2006 08:09:22 AM, Joseph Wang wrote:
> Just a heads up.  I'm currently working on some C++ classes that  
> convert quote time series information into a volatility time series.  
> I'm started with a dead simple model that does a constant weighting  
> of terms, but eventually, I'm hoping to put in a GARCH model.

Joe,
        you might want to use the History class instead of your  
TimeSeries structure. I don't think we need to duplicate the concept;  
it is true that your structure is more generic in type, but using  
Quotes is not going to give you any advantage over Reals unless the  
client code registers as observer with all the contained quotes.  
Moreover, History has more functionality.

Later,
        Luigi

P.S. On the other hand, I like your name better. If you decide to use  
History, I think I'll rename it to TimeSeries...


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