Applying spreads to forward rates

[theomontel]

As discussed in the email chain, it would be useful in my view to be able to apply spreads to forward rates. I would like to be able to provide a set of data such as:

start_date
end_date
spread_bp

and apply those to curves, rather than being restricted to use spreads from spot as is currently the case

[boring-cyborg]

Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.

[sophistis42]

Are we talking about an implementation like "InterpolatedPiecewiseForwardSpreadedTermStructure"?

[sophistis42]

Alternatively how about something like -->
ForwardSpreadedTermStructure(Handle<YieldTermStructure>, Handle<Quote> spread, const Date& refPeriodStart = Date(), const Date& refPeriodEnd = Date());

Where also we tweak: ForwardSpreadedTermStructure::forwardImpl(Time t) to conditionally add the spread if in range?

[theomontel]

Apologies for my initial spec, I would need to specify time-dependent spreads on the forwards, furthermore I have realised that what I'm looking to do can be achieved using backwardflat interpolation so I think your suggestion of InterpolatedPiecewiseForwardSpreadedTermStructure sounds great