I was taking a look at <ql/termstructures/yield/fittedbonddiscountcurve.hpp> and saw the note:
\todo refactor the bond helper class so that it is pure
virtual and returns a generic bond or its cash
flows. Derived classes would include helpers for
fixed-rate and zero-coupon bonds. In this way, both
bonds and bills can be used to fit a discount curve
using the exact same machinery. At present, only
fixed-coupon bonds are supported. An even better way to
move forward might be to get rate helpers to return
cashflows, in which case this class could be used to fit
any set of cash flows, not just bonds.
I would like to include discount instruments in curve construction, if possible. Has anyone made progress along that path, perhaps on the line of the steps identified in this note?
I would appreciate advice or comments on the work necessary to use generic cash flows in this process, if it would not require a major re-write of the library.
Thanks.
-Nick
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