Re: ObjectHandler and evaluationDate()

Posted by Plamen Neykov on
URL: http://quantlib.414.s1.nabble.com/ObjectHandler-and-evaluationDate-tp3963p3964.html

Hi Toyin,

the excel wrapper of the YC object calls
QuantLib::Settings::instance().setEvaluationDate(evaluationDate); before
constructing the YC object (e.g. it is set globally for the whole
library ....) Not quite fool-proof (you have to be carefull if you have
multiple YC objects in your spreadsheet)

hope this helps

cheers,
Plamen

On Tuesday 02 August 2005 19:11, Toyin Akin wrote:

> Hi,
>
> How does the Excel implementation of QuantLib+ObjectHandler handle
> constructing YieldCurves with a referenceDate forward from Today?
>
> Let's say that the Yieldcurve object is constructed with a referenceDate, 3
> months from today.
> This date will be stored within the YieldCurve object.
>
> If you then construct a swap object and then wish to price this, because
> the code would access the evaluation date from evaluationDate() and not the
> date passed in to the YieldCurve you would get a mixed fixing error.
>
> However the more I think about this the more it seems to me that the
> reference Date variable passed in to the YieldCurve function is more tied
> to the instrument themselves rather than the date that you want the curve
> stripped at.
>
> Thus if you pass in a 3 month forward date into the Yieldcurve's
> referenceDate function, you are specifying forward rates (ie - the 5Y swap
> rate Tenor actually starts in 3 months time rather than today (or the spot
> date)) and has nothing to do with the date that the YieldCurve is actually
> stripped on.
>
> If my previous thought process is actually what is going on, It would be
> nice to have a curve function that you specified up front as to what the
> actual calculation date was and not depend on global variables. For
> example, back testing strategies.
>
> Even if my previous analysis is correct, you still have the problem of
> multiple users wanting to price a particular deal/product under difference
> calculation dates.
>
> If the referenceDate parameter is tied to the instruments, what is the
> ImpliedTermStructure Curve class used for? Does this actually implement a
> different calculation/stripping date without going throught the
> modifications of the evaluationDate() function?
> If so, is this curve compatible with the wonderfully new
> piecewiseYieldCurve Curve class?
>
> Sorry for the waffle, too many exciting Toys within the recent QuantLib
> library...!!
>
> Best Regards,
> Toy out.
>
>
>
>
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