Posted by
Peter Caspers-2 on
URL: http://quantlib.414.s1.nabble.com/yield-curve-todays-date-and-spot-date-when-MTM-tp676p680.html
.... but in both cases you should set the evaluation date to 31/12/12 and
use the market data of this day. Then if you want the PV as of 31/12/11
set the reference date of the yield term structure to 31/12/11, if you
want it as of 02/01/12, set it to 02/01/12. Also be aware that in the
latter case cashflows occuring on 01/01/12 and 02/01/12 (by default) are
not included in the PV. Rgds, Peter
Am 18.08.2011 10:02, schrieb Luigi Ballabio:
> 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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