I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now) in QuantLib.
Let the object of class Bond
is then priced using BondSetCouponPricer()
and InstrumentSetPricingEngine()
with a non-flat object of YieldTermStructure
class (like a zero yield curve): does this take into account the whole shape of the yield term structure, considering the bond is not priced today but at a "new" tenor due to the fact that in this simulation six months have passed?
What if the Bond
object is of FloatingRateBond
class, thus having an IborIndex
made up by an additional object of class YieldTermStructure
?
Does this take into consideration the "new" tenor due to the fact that in this simulation six months have passed?
Thanks,
issueDate
argument (Default value =QuantLib::Date()
) and the zero curve? The former can bet set equal totoday() + 6M
; the latter can be shifted in order to make, as instance, the 1Y tenor become the 18M tenor (= 1Y + 6M) of the "new" curve... and so on. $\endgroup$ – Lisa Ann Sep 6 '13 at 6:57