Re: way to shift curve
Posted by
Bojan Nikolic on
URL: http://quantlib.414.s1.nabble.com/way-to-shift-curve-tp1498p1500.html
Depending on what you are trying to do, you may want to bump the
rate/price of one or more market observables and then re-build the
curve. In this way you can, for example, work out how well your hedges
in the liquid market instruments used that are used to build the curve
protect your illiquid portfolio that you are trying to value. This is
very easy to as all you need to do is bump the input data by required
amount and the curve is automatically rebuilt. I've posted a simple
example here:
http://www.bnikolic.co.uk/blog/ql-bumping-curve.html--
Bojan Nikolic ||
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