Posted by
Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Re-SmileSection-tp13110p13117.html
On Tue, Oct 20, 2009 at 2:46 PM, Chris Kenyon <
[hidden email]> wrote:
> 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.
mmm... I'm not familiar enough with inflation to really challenge your
proposal, so for me it's OK.
Anyway I wonder if we might reserve exerciseTime for
time-from-referenceDate()-to-exercise and then deal with
time-for-volatility-to-build-up in volatilityImpl / varianceImpl.
Would this choice make your code more complex or unnatural ?
I.e. add a varianceTime (time-for-volatility-to-build-up) when it is
not equal to exerciseTime (time-from-referenceDate()-to-exercise)
ciao -- Nando
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