yield curve manipulation

[Siddharth Alexander]

Hi,

 

Once I've built a yield curve is it possible to manipulate it in the following ways:

 

I want to be able to shift rates up 1 bp and create a new curve from within the code. I have an inkling this may not exist, so is it possible to extract all the data points used to build the YC given a YC handle? This way, I can clone the data, adjust the inputs by 1bp and build a new curve.

 

Thanks for your help!

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[Ferdinando M. Ametrano-3]

Hi Siddharth

> Once I've built a yield curve [...] I want to be able to shift rates up 1 bp

you have at least two alternatives:

a) you can create a ForwardSpreadedTermStructure where the spread is
applied to the instantaneous forward rate
http://quantlib.org/reference/class_quant_lib_1_1_forward_spreaded_term_structure.html

b) if you have created your original curve using RateHelpers which
encapsulate Quotes, the you can just tweak the Quote value, without
the need to create another curve

hope it helps

ciao -- Nando

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