[Quantlib-users] Should InterpolatedDiscountCurve register with evaluation date?

[Wei Li <ttl...@gm...>]

Dear all,

We are constructing yield curves using bootstrapped date and discount
factor pairs, i.e., we use the InterpolatedDiscountCurve class. But when I
am looking at the PUBLIC constructors of this class (all three of them take
a date vector and a discount factor vector as basic form), I see that they
all internally call the base class (YieldTermStructure) constructor using
the first date in the vector (dates.at(0)) as an explicitly-passed
reference date. It means this class doesn't register with the change of
QuantLib's evaluation date.

So when I am using these curves like this:

Date delivery = Date (30, September, 2024);
DiscountFactor df1 = my_curve -> discount(delivery);

Date originalEvalDate = Settings::instance().evaluationDate();
Settings::instance().evaluationDate() = originalEvalDate + 30;

DiscountFactor df2 = my_curve -> discount(delivery);

I would expect the df2 to be different from df1, but it is not the case.
Since the reference date of my_curve never got changed, the
timeFromReference remained the same and hence the discount factor.

Is there some way to construct a discount curve using dates and dfs, and
the curve would reflect the change of evaluation date, or am I totally
wrong to expect it would?

Cheers,
Wei