forward sensitivities

Posted by Grison PG Pierre (External DEXIA-US) on
URL: http://quantlib.414.s1.nabble.com/forward-sensitivities-tp16315.html

Hello all,

 

If I want to compute a forward sensitivitiy of a swap, is it ok to just move the evaluation date with:

 

Settings::instance().evaluationDate() = evaluationDate;

 

Or is that wrong? If the yield curves used to price the swap are built before I move the evaluation date, will it work?

 

Thanks,

 

Pierre

 

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