Posted by
alex-657 on
URL: http://quantlib.414.s1.nabble.com/yield-curve-todays-date-and-spot-date-when-MTM-tp676p678.html
Luigi Ballabio <luigi.ballabio <at> gmail.com> writes:
>
>
> On Aug 17, 2011, at 6:46 PM, alex wrote:
> > 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?
> >
>
> No, the example is rather backwards; it should read
>
> Integer settlementDays = 2;
> Date settlementDate = calendar.advance(todaysDate, settlementDays,
> Days);
>
> It just means that the swap is settled two days from today, so the
> curve (which you bootstrap today, regardless of when the swap started)
> will be discounting to that date.
>
> Luigi
ok now if i want to value this swap one year later say i want it's value on
31/12/2012
should i use the yield curve constructed the same date (31/12/2012) or the
yield curve constructed on 29/12/2012?
if I choose the yield curve constructed on 31/12/2012 (from the quotes of
euribors on the same date) I will get discount factor of 1.0 for 2/1/2013
(ignoring holidays) , but as i want a value for 31/12/2012 , shouldn't I use
the curve where discount factor 1.0 is for 31/12/2012 ?
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