Thanks Luigi your suggestions works perfect.
Lluis
On Wed 24/11/10 15:58 , Luigi Ballabio <[hidden email]> wrote:
On Wed, 2010-11-24 at 14:35 +0100, Lluis Pujol Bajador wrote:
> I need to estimate the value of a portfolio of existing swaps
> in future dates. For example the value in 1 YR, 2YR, .....20YR time.
> At this moment I don't care about the implied curve for 1YR, 2YR,
> etc... I am happy to use existing curve and just change the evaluation
> date.
>
> I though that If I setup the current portfolio of Swaps I would only
> need to change Settings::instance().evaluationDate() and get the new
> PV for each swap. But I findout that I still get the PV of cash flows
> that have already matured. (¿?).
Your problem is the creation of the discount curve:
> I've previously created a deposwapcurve with depoSwapCurve =
> PiecewiseLogLinearDiscount( ValueDate, helpers, ActualActual())
If you create it with an explicit ValueDate, that date will remain the
date to which the cash flows are discounted. If you create the curve
with a number of business days (probably 0) and a calendar instead, the
reference date of the discount curve will move with the evaluation date
and the cashflows will be filtered accordingly.
See chapter 3 at <http://sites.google.com/site/luigiballabio/qlbook> for
more details.
Luigi
--
An ideal world is left as an exercise to the reader.
-- Paul Graham
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