On Wed, 2010-03-03 at 11:24 -0500, Vlad F. wrote:
> I was looking around QuantLib to see if there is a “delta ladder” call
> for swaps, but I couldn’t find it or anything similar to that.
>
> Is there such a call in QuantLib? If there is no such call, what would
> be the best way getting the results?
> One way that I was thinking of extracting the delta is to create two
> Yield Curves with the same structure but with two sets of rates
> differing by 1BP. Then using PiecewiseYieldCurveData to find the
> delta. Is there a better approach?
You can use SimpleQuote instances to hold the rates, then set them 1bp
higher and see how the NPVs change (see the Swap example to see how
quotes can be changed.)
Luigi
--
The young man knows the rules, but the old man knows the exceptions.
-- O. W. Holmes
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