[Quantlib-users] What are some examples of moving yield term structures?

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

Dear all,

When I am developing using ql, I learned that with *moving *term structures
(whose moving_ property are set to true and are basically constructed
without using specific dates), I can calculate the theta per day
measurement by bumping the evaluation date to the next business day.

However, I am not sure what are the examples of such moving term
structures. So far our project uses exclusively *InterpolatedDiscountCurve *and
*PiecewiseYieldCurve : *we construct the first class by giving the specific
dates and discount factors (calculated somewhere else) on such dates, and
construct the second class with market quotes of different types of
instruments and do the bootstrapping on the fly. As far as I know, neither
of these two is a moving term structure. As a result, I can't get the
expected theta per day by just bumping the evaluation date. Our portfolio
is mainly composed of FX and fixed income exotic options and the hedging
instruments so the valuation relies heavily on the yield term structures.

So I was wondering, if we want to get such theta per day measurement, what
would be the proper classes that we should use? Thank you very much!

Cheers,
Wei