Future Horizon Date Support?

Does Strata support the idea of setting the “valuation_date” or “horizon_date” to some point in the future and then roll itself accordingly along the the various curves needed for pricing, if so how do I do that, is there a test I can refer to?

For instance, suppose I want to price a 1M EURUSD 25D EC today but I also want to price it today as if it were actually 1M in the future. These would not be comparable options (as one would expire on ~Dec13 and the other in ~Jan13) but hopefully it explains what I’m after.


Hi tcopple,
At this stage the answer is no. It would make sense to have something similar to “forward” the valuation mechanism to a given date. But we have not implemented a robust mechanism in the open source code at this stage.
The discounting requires a ratio of discount factors.
The forward rates (e.g LIBOR forward) don’t create issues as the forwards are unchanged. But a mechanism need to be implemented to create the historical time series between the current valuation date and the forward date.
I hope this helps.