Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Changing-Settings-instance-evaluationDate-and-impact-on-Instruments-tp7096p7099.html
On Mon, 2010-12-06 at 15:53 +0100, Henner Heck wrote:
> 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?
It's A (more or less; the curve shape might change slightly due to
holidays.) discount(evaluationDate + 4*Years) should stay the same when
evaluationDate moves. The curve will assume the deposit and swap rates
used for bootstrapping apply from the new evaluation date, and will
rebuild itself accordingly.
Behavior B can be achieved by means of the ImpliedTermStructure class
(<ql/termstructures/yield/impliedtermstructure.hpp>.)
Luigi
--
The surest way to make a monkey of a man is to quote him.
-- Robert Benchley
------------------------------------------------------------------------------
This SF Dev2Dev email is sponsored by:
WikiLeaks The End of the Free Internet
http://p.sf.net/sfu/therealnews-com_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users