http://quantlib.414.s1.nabble.com/Adjust-dates-of-term-structure-tp7330p7333.html
forward rates. The interpolation is backward-flat (that is, the
forward at a node is extended flatly back to the previous node). It
since there's no solving proces involved, just interpolation). As you
> Thanks Luigi - this is extremely helpful, exactly what I was looking to do.
> Unfortunately as with most good answers this has caused us to ask some more
> questions.
>
> 1) What are the rates produced by the nodes() function? They appear to be
> forwards but we're not sure of what tenor... I assume it has something to do
> with how the original curve was constructed?
>
> 2) Is the only difference between PiecewiseYieldCurve and ForwardCurve that
> the former can be bootstrapped from a combination of different kinds of
> rates via helpers while the latter can only be bootstrapped from forward
> rates? Or is there something more going on that separates them?
>
> Thanks so much! Have you ever thought about teaching a class in New York?
>
> --Matt
>
>
>
> On Tue, Nov 6, 2012 at 10:08 AM, Luigi Ballabio <
[hidden email]>
> wrote:
>>
>> Hi Matt,
>> apologies for the late answer.
>> You have a couple of possibilities. One is to extract the rates from
>> the bootstrapped curve via the nodes() method (which returns a list of
>> (date,rate) pairs) and use them to build an interpolated forward
>> curve. In Python, that would be a ForwardCurve instance; its
>> constructor takes a vector of dates and a vector of corresponding
>> rates.
>>
>> Depending on what you want to do, another possibility is to leave the
>> reference date of the curve free to move. For that, you can use the
>> PiecewiseFlatForward constructor that takes settlementDays and
>> calendar instead of a reference date; for instance,
>> PiecewiseFlatForward(0,TARGET(),helpers,day_counter) will give you a
>> curve whose reference date follows the evaluation date. When you
>> bootstrap it with Settings.instance().evaluationDate set to today's
>> date, you'll get your original curve. If you set
>> Settings.instance().evaluationDate to a different date, the curve will
>> perform the bootstrap again based on the new evaluation date (note,
>> though, that this will build you a curve that gives you the same
>> deposit and swap rates, but possibly not the very same forward rates).
>>
>> Hope this helps,
>> Luigi
>>
>> On Mon, Oct 22, 2012 at 10:24 PM, mattgline <
[hidden email]> wrote:
>> >
>> > Hello,
>> >
>> > I am a brand new quantlib developer, using the python bindings via SWIG.
>> >
>> > I am trying to take a YieldTermStructure (actually, a
>> > PieceswiseFlatForward)
>> > and roll it forward or update the dates - eg, given a
>> > PiecewiseFlatForward
>> > constructed with a certain reference date, I'd like to construct a new
>> > PiecewiseFlatForward with the same rates starting on a different date.
>> >
>> > Is it possible to modify the dates associated with these objects?
>> >
>> > Thanks to all,
>> >
>> > --Matt
>> > --
>> > View this message in context:
>> >
http://old.nabble.com/Adjust-dates-of-term-structure--tp34588749p34588749.html>> > Sent from the quantlib-users mailing list archive at Nabble.com.
>> >
>> >
>> >
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