[Quantlib-users] QL Python Instance Evaluation Date

[Mike D. <mik...@gm...>]

Hello all,

I have two sets of dates/discount factors for a given type of curve (let’s
say it’s 3mL for sake of discussion), one is yesterday’s closing curve with
discount factor 1.0 date of 17May2021, and the other is today’s live curve
with discount factor 1.0 date of 18May2021.

If I have ql.Settings.instance().evaluationDate set to 18May2021, then in
order to get the proper analytics like fair rate etc for today’s spot 5y
swap (20May2021 - 20May2026) from the t-1 closing curve, I would need to 1)
reset ql.Settings.instance().evaluationDate to 17May2021, 2) set the swap
instrument to point to that t-1 curve, 3) do all the calculations, 4) reset
ql.Settings.instance().evaluationDate back to 18May2021, and 5) reset the
swap instrument to point to t0 curve?  Then I could continue any other
downstream calcs using today’s live curve I think.

I just want to make sure I’m understanding the workflow correctly and that
I didn’t miss some other easier/more efficient way to implement this type
of analysis.

Thanks in advance for any feedback.

Best,
Mike