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

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

Hello Luigi,

Thank you for your reply, I'll give it a try.

Cheers,
Wei

On Tue, Nov 5, 2024, 18:35 Luigi Ballabio <lui...@gm...> wrote:

> 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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>>>