Posted by
eric ehlers on
URL: http://quantlib.414.s1.nabble.com/Simple-Code-tp4403p4412.html
Hi Jim
> a. When settlementdate is bigger than valuateDate, DF numbers are
> undefined.
Yes if all you do is increment the settlement date it breaks the
curve, you need to make the corresponding changes to the fixing days
and the dates in the curve.
> b. Can we set different valuatedate and settlementdate for each instrument
> for the curve
No. The evaluation date is contained the Settings object, in the
default QuantLib build there is one global instance of Settings.
QuantLib supports the concept of a session, allowing multiple
instances of the Settings object, but this is not implemented in the
current release of QuantLibAddin (0.3.11). Please see the links below
for prior discussion on this subject.
http://sourceforge.net/mailarchive/forum.php?thread_id=8151830&forum_id=4299http://sourceforge.net/mailarchive/forum.php?thread_id=7875915&forum_id=4299http://sourceforge.net/mailarchive/forum.php?thread_id=7144644&forum_id=4299The upcoming QuantLibAddin 0.3.12 release implements a session as a
workbook allowing all objects requiring a given instance of the
evaluation date to be grouped in a single workbook. But this wouldn't
really let you use a different evaluation date for each instrument in
the curve.
> c. what is use of the cell G3 in swap convention section?
#/fixing days for the swap rate helpers.
> d. what is trigger used for?
To force a dependency which isn't known to Excel's calculation tree.
For example qlSetQuote and qlGetDf both operate on the same underlying
object but Excel has no way to know that so the trigger forces qlGetDf
to be recalculated if qlSetQuote changes.
Regards,
Eric