Valuing Instruments in Future Dates.

[Lluis Pujol Bajador]

Hi,

I am a newbie Quantlib user.

I would like to value Instruments in a several futures dates untill the Maturity (Swaps and Bonds) to see future counterparty expossures at risk. I would like to use for future curves the forward curve implied on the spot curve. (not just changing evalDate)

Is there an easy method to do that or I need to create each forward curve and  the discount remaining cashflows?  

Any examples to look at?.

Thanks in advance.

Lluís

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[Luigi Ballabio]

On Sun, 2009-08-09 at 11:52 +0200, LLUIS PUJOL BAJADOR wrote:
> I would like to value Instruments in a several futures dates untill
> the Maturity (Swaps and Bonds) to see future counterparty expossures
> at risk. I would like to use for future curves the forward curve
> implied on the spot curve. (not just changing evalDate)

You can use the ImpliedTermStructure class. It takes your spot curve and
the future date and returns the implied future curve.

Luigi


--

A child of five would understand this. Send someone to fetch a child of
five.
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[Guowen Han]

When you try to access the risk in the future dates,  you may also like to simulate the spot curve change and even volatility change.

Thanks,
 

Luigi Ballabio <[hidden email]>

08/10/2009 06:08 AM

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Subject	Re: [Quantlib-users] Valuing Instruments in Future Dates.

On Sun, 2009-08-09 at 11:52 +0200, LLUIS PUJOL BAJADOR wrote:
> I would like to value Instruments in a several futures dates untill
> the Maturity (Swaps and Bonds) to see future counterparty expossures
> at risk. I would like to use for future curves the forward curve
> implied on the spot curve. (not just changing evalDate)

You can use the ImpliedTermStructure class. It takes your spot curve and
the future date and returns the implied future curve.

Luigi


--

A child of five would understand this. Send someone to fetch a child of
five.
-- Groucho Marx



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