QuantLib - Re: forward sensitivities

Re: forward sensitivities

Posted by Grison PG Pierre (External DEXIA-US) on
URL: http://quantlib.414.s1.nabble.com/forward-sensitivities-tp16315p16318.html

Thanks for your quick answer. So let’s say I first define my curves with a number of business days and a calendar. Then I define and create a new instance of a swap. Then I move the evaluation date (I don’t change the swap) and recalculate sensitivities. Should it work ? I think it works as long as the schedules defined in the swap don’t move, and that is what Ql does, doesn’t it?

Pierre

From: Luigi Ballabio [mailto:[hidden email]]
Sent: Thursday, March 05, 2015 11:04 AM
To: Grison PG Pierre (External DEXIA-US)
Cc: [hidden email]
Subject: Re: [Quantlib-users] forward sensitivities

It depends on how you build the curves. If you passed them an explicit reference date, it won't work. If you passed them a number of business days and a calendar, they will adjust to the new evaluation date. More details at <http://implementingquantlib.blogspot.it/2013/09/chapter-3-part-1-of-n-term-structures.html>.

Luigi

On Thu, Mar 5, 2015 at 4:58 PM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

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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