Re: ObjectHandler and evaluationDate()

Posted by Plamen Neykov on
URL: http://quantlib.414.s1.nabble.com/ObjectHandler-and-evaluationDate-tp3963p3970.html

Hi Toy,

> Actually, thinking about your theta point, it looks like you can compute
> all three effects within a spreadsheet environment alone.
>
> Rates constant, discount factors constant and vol constant.
> Each element above is it's own curve (fixing, discount, vol) and you bump
> the evalDate of each one individually.
>
> What do you think? (leaving aside the global evalDate() problem)
>
> You Could even compute cross-derivatives under this scheme (Rates+Vols,
> Rates+Dcfs etc...)

Yep - it seems that it would work!

(beside the problem with evaluatonDate() of course)

cheers,
Plamen