Re: [Quantlib-users] QL Python Instance Evaluation Date

[Luigi B. <lui...@gm...>]

Hi Mike,
    yes, I think that's how you do it.  You have two sets of dates/discount
factors, so you can't build a single curve that moves on its own when the
evaluation date changes.

Luigi


On Tue, May 18, 2021 at 5:58 PM Mike DelMedico <mik...@gm...>
wrote:

> 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
>
>
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