Hi,
I’m looking at extending the definitions in the
short-rate models for credit (or inflation) purposes.
Problems arise with the TermStructureConsistentModel,
TermStructureFittingParameters etc.
There are two possible approaches:
1) Specialise using
templates for the short-rate models.
2) Specialise
by adding to the TermStructure class.
The first method requires rewriting of many classes within a
template structure – and specialising some of the class functions to
return the survival probability instead of the discount factor. The second
requires adding a function named oneFactorPrimitive() (or similar) to
TermStructure which specialises using the standard C++ inheritance.
I’m leaning towards the second method as it is much
simpler.
Any advice?
Simon
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