Posted by
Henner Heck on
URL: http://quantlib.414.s1.nabble.com/Changing-Settings-instance-evaluationDate-and-impact-on-Instruments-tp7096p7098.html
Hello,
i want to make sure that i understood the mentioned behavior of the curve
correctly.
When creating it with "number of business days" and changing the
evaluation date
to a future future date, will the curve's shape remain the same (Behavior
A),
or will the curve be "forwarded" 2 years (Behavior B)?
Example for "evaluationDate_New = evaluationDate_Old +2Years":
Behavior A:
The discount factors d4_Old and d4_New for a cash flow 4 years after the
evaluation date
are the same before and after the date change.
Behavior B:
The discount factor d4_New for a cash flow 4 years after the evaluation
date fulfills
the following equation:
d4_New == d6_Old / d2_Old
If it is one of these behaviors, which one?
And if it is not B, how can i achieve behavior B?
(Should i open a new thread for this question?)
Best Regards,
Henner Heck
Am 24.11.2010, 15:58 Uhr, schrieb Luigi Ballabio
<
[hidden email]>:
> On Wed, 2010-11-24 at 14:35 +0100, Lluis Pujol Bajador wrote:
>> I need to estimate the value of a portfolio of existing swaps
>> in future dates. For example the value in 1 YR, 2YR, .....20YR time.
>> At this moment I don't care about the implied curve for 1YR, 2YR,
>> etc... I am happy to use existing curve and just change the evaluation
>> date.
>>
>> I though that If I setup the current portfolio of Swaps I would only
>> need to change Settings::instance().evaluationDate() and get the new
>> PV for each swap. But I findout that I still get the PV of cash flows
>> that have already matured. (¿?).
>
> Your problem is the creation of the discount curve:
>
>> I've previously created a deposwapcurve with depoSwapCurve =
>> PiecewiseLogLinearDiscount( ValueDate, helpers, ActualActual())
>
> If you create it with an explicit ValueDate, that date will remain the
> date to which the cash flows are discounted. If you create the curve
> with a number of business days (probably 0) and a calendar instead, the
> reference date of the discount curve will move with the evaluation date
> and the cashflows will be filtered accordingly.
>
> See chapter 3 at <
http://sites.google.com/site/luigiballabio/qlbook> for
> more details.
>
> Luigi
>
>
>
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