that makes sense. This also makes setSeasonality methods
safer because if you are using Quotes it is a signal that you may be changing
all sorts of other things. OK lets go that way because:
1) helps
avoids unexpected side effects (i.e. given the QuantLib setup you know that if
you change a quote, or if you have to make new ones, then you are doing
something drastic);
2) permits sensitivity analysis (which is also what
get/set are about).
1) Instead of vector<Real> we
use a vector<Handle<Quote> > for seasonality factors.
-----
Original Message ----
From: Ferdinando Ametrano
<
[hidden email]>
To: Chris Kenyon
<
[hidden email]>
Cc:
[hidden email];
[hidden email];
[hidden email]Sent: Thursday, May 1, 2008 6:19:32
PM
Subject: Re: [Quantlib-dev] seasonality for inflation term
structures
Hi Chris
On Thu, May 1, 2008 at 10:01 AM, Chris
Kenyon <
[hidden email]>
wrote:
> I don't favor using Quotes for seasonality data
since seasonality
> should not be changing on short timescales (there
are no market
> quotes - this is exactly why this feature was
invented).
> Comments anyone?
I understand your
reasons but I am in favor of Quotes, especially
since they would be the
main hook for sensitivity analysis, i.e. in
order to calculate sensitivity
with finite differences you just tweak
the Quote value, recalculate the NPV
of your portfolio, then restore
the original value.
The
observability combined with the lazyness ensure optimal
performances and
general easiness for this approach, which is probably
one of best features
of the QuantLib design.
ciao --
Nando