globall update in piecewise yield curve?

Posted by Candy Chiu on Jan 11, 2013; 3:00pm
URL: http://quantlib.414.s1.nabble.com/globall-update-in-piecewise-yield-curve-tp13908.html

Hi Luigi,

I just want to double check with you that the piecewise yield curve changes only local data in each step of the iteration?  In other words, once it is done with the i-1'th instrument, all parameters indexed 0 to i-1 are fixed.  I am not sure if this is true for the Cubic interpolation.  One symptom that raised concern is when I apply a 20-year key rate shock, the 2y10y forward rate differs from the base case by 1bp.  Since all market data from time 0 up to time 15 years didn't change, the shock should only impact discount factors after 15 years.  The 2y10y forward rate depends only on discount factor up to 12 years, and should stay the same.  

Your help is appreciated.

Candy

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