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

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

Hi,
    there's no helper that does the whole work directly; but you could
calculate zero-coupon prices from the discount factors and then pass them
to the BondHelper class.

Luigi

On Tue, Nov 5, 2024 at 3:34 AM Wei Li <ttl...@gm...> wrote:

> Hello Luigi,
>
> Thank you for your reply. I guess I didn't look through all the
> constructors so I missed the ones with settlementDays as input. I have
> another question though: is there any workaround to make the
> InterpolatedDiscountCurve reference-date-dependent (like I mentioned, we
> construct some curves by giving discount factors and the discounting dates
> that we calculated somewhere else)? I remember I have read from the
> maillist that this is not supported. But I also see that there are some
> constructors with settlementDays as input if the constructors of this
> class, although they are marked as protected and they do not take discount
> factors as input. If that is not possible, is there some rate helper class
> that can construct zero coupon bonds from the discount factors and use
> those instruments to construct the curve?
>
> Cheers,
> Wei
>
> On Mon, Nov 4, 2024 at 6:40 PM Luigi Ballabio <lui...@gm...>
> wrote:
>
>> 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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>>