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.

Thanks.

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.
Regards,
Marc