yield curve todays date and spot date when MTM

Posted by alex-657 on
URL: http://quantlib.414.s1.nabble.com/yield-curve-todays-date-and-spot-date-when-MTM-tp676.html

in a swap valuation example there's a line

Integer fixingDays = 2;

Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);

does it mean that when i want to value (MTM) today a swap which has already started in the past I must use the yield curve bootstrapped 2 days ago?

 

 

 

 

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