Re: SmileSection

Posted by Chris Kenyon-2 on
URL: http://quantlib.414.s1.nabble.com/Re-SmileSection-tp13110.html

Hi Nando,

virtual is better because some of the time processing gets involved.  I'd like the following virtual:

        virtual void initializeExerciseTime() const;                        // currently not virtual
        virtual Real varianceImpl(Rate strike) const;                    // currently not virtual
        virtual Volatility volatilityImpl(Rate strike) const = 0;         // OK
 
i.e. I need the calculation parts virtual.  Exercise time, for inflation, could mean time-for-volatility-to-build-up OR time-from-referenceDate()-to-exercise.  For interest rates these are the same.  Having exercise time virtual gives more possibilities for descendants to change things.  At a pinch I could make do with only varianceImpl(Rate strike) as virtual.

Best,
Chris

---

From: Ferdinando Ametrano <[hidden email]>
To: [hidden email]
Cc: Chris Kenyon <[hidden email]>
Sent: Tue, October 20, 2009 12:07:45 PM
Subject: Re: SmileSection

On Tue, Oct 20, 2009 at 10:22 AM, Luigi Ballabio
<[hidden email]> wrote:

> Chris needs to modify slightly the SmileSection class in order to make
> it work for inflation volatility, namely,
>
>> For the volatility stripping the SmileSection class is unusable for
>> inflation because of assumptions on timing. [...] mostly on how much
>> time has passed up to T.  For inflation time starts passing from
>> (referenceDate-Lag, adjusted by interpolation setting) rather than
>> just referenceDate. [...]  To enable reuse most of its methods should
>> be virtual then I could use it.
>
> As you (Nando) are the one with the design most clearly in mind, I
> thought I'd refer Chris to you so that the two of you can work it out.
> Let me know what you come up with (in the next few days, possibly?)

it's ok for me to make it virtual, or just add a default null lag to
the base class, whatever makes more sense

ciao -- Nando

PS this and other questions (e.g. bachelier) would be probably better
discussed on the mailing list, where others might join with better
insight...

------------------------------------------------------------------------------
Come build with us! The BlackBerry(R) Developer Conference in SF, CA
is the only developer event you need to attend this year. Jumpstart your
developing skills, take BlackBerry mobile applications to market and stay
ahead of the curve. Join us from November 9 - 12, 2009. Register now!
http://p.sf.net/sfu/devconference
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev