Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/yield-curve-todays-date-and-spot-date-when-MTM-tp676p679.html
On Wed, 2011-08-17 at 20:58 +0000, alex wrote:
> 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 ?
Depends on how you keep your books. I've seen trading rooms where the
cash flows were discounted to 2/1/2013, and prior cash flows were
accounted for separately. If you want to discount to 31/12/2012, that's
also correct as long as you know what you're doing.
Luigi
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