Posted by
Yan Kuang on
URL: http://quantlib.414.s1.nabble.com/reference-of-boost-shared-ptr-instead-of-Handle-tp7623p7643.html
Hi Luigi,
I don't think we need to reverting
the change, I think my suggestion
will work, please give a comment
on my email from yesterday (and I retached
below).
Cheers,
Yan
>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>
Nando and Luigi,
A suggestion:
EuriborSwap::EuriborSwap(const
Period& tenor,
const Handle<YieldTermStructure>&
fdw6M,
const
Handle<YieldTermStructure>& fdw3M,
const
Handle<YieldTermStructure>& discount)
...
tenor >
1*Years ?
boost::shared_ptr<IborIndex>(new EURLibor(6*Months, fdw6M))
:
boost::shared_ptr<IborIndex>(new EURLibor(3*Months, fdw3M)))
{}
...
Add two data members (private) to EuriborSwap
Handle<YieldTermStructure> fdw6M_;
Handle<YieldTermStructure> fdw3M_;
Add one data member (protected) in swapIndex
Handle<YieldTermStructure>
discount_;
So that:
EurLiborSwap::create(const Period& tenor) const
{
return boost::shared_ptr<SwapIndex>(
new
EurLiborSwap(tenor, fdw6M_,
fdw3M_, discount_);
This will work, and it's not too bad as
we hide swapIndex definition from
SwaptionVolCube.
Alternatively we may decouple index from
yield curve (market data), and add an association:
map<std::string,
Handle<YieldTermStructure> > curveMap; //market date association
curveMap.insert(std::pair<std::string,
Handle<YieldTermStructure> >("EURLibor6M",
fdw6M);
But too much works involved.
Cheers,
Yan
On Tue, 2009-09-15 at 17:33 +0200, Ferdinando M. Ametrano
wrote:
> 1) The current market practice is to have a different discount curve
>
> 2) two different forwarding curves must be used.
Right. I was stuck in 2007.
Ok, I'm reverting the change until we figure it out.
Later,
Luigi
--
Ninety percent of everything is crap.
--- Theodore Sturgeon
Please consider our environment before printing this email.
WARNING - This email and any attachments may be confidential. If received in error, please delete and inform us by return email. Because emails and attachments may be interfered with, may contain computer viruses or other defects and may not be successfully replicated on other systems, you must be cautious. Westpac cannot guarantee that what you receive is what we sent. If you have any doubts about the authenticity of an email by Westpac, please contact us immediately.
It is also important to check for viruses and defects before opening or using attachments. Westpac's liability is limited to resupplying any affected attachments.
This email and its attachments are not intended to constitute any form of financial advice or recommendation of, or an offer to buy or offer to sell, any security or other financial product. We recommend that you seek your own independent legal or financial advice before proceeding with any investment decision.
Westpac Institutional Bank is a division of Westpac Banking Corporation, a company registered in New South Wales in Australia under the Corporations Act 2001 (Cth). Westpac is authorised and regulated in the United Kingdom by the Financial Services Authority and is registered at Cardiff in the United Kingdom as Branch No. BR 106. Westpac operates in the United States of America as a federally chartered branch, regulated by the Office of the Comptroller of the Currency.
Westpac Banking Corporation ABN 33 007 457 141.
------------------------------------------------------------------------------
Come build with us! The BlackBerry® 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/devconf_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users