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

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

Hello Wei Li,
    PiecewiseYieldCurve can be moving or not, depending on how you build
it.  If you're passing a reference date as the first argument to its
constructor, then the curve will stay fixed at that reference date.  If
you're passing a number of days and a calendar instead, the curve will move
with the evaluation date.

Luigi


On Fri, Nov 1, 2024 at 11:20 AM Wei Li <ttl...@gm...> wrote:

> 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
>
>
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