CCS bootrapping

[Grison PG Pierre (External DEXIA-US)]

Hello,

Can someone tell me why the FutureRateHelper does not have a setTermStructure method? Do you think it’s doable to create a CrossCurrencySwapHelper  and to use the setTermStructure method to bootstrap on either one of the two forward curves or one of the two discounting curves (within the multicurve framework) ?

 

Regards,

 

Pierre

 

 

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[Luigi Ballabio]

Hello,

    apologies for the delay.

a) FutureRateHelper inherits setTermStructure from BootstrapHelper;

b) it could be doable. The CCS helper would store handles to all curves, and the user would pass some kind of flag to specify which handle is to be linked to the curve being bootstrapped.

Luigi

On Wed, Oct 22, 2014 at 11:21 PM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello,

Can someone tell me why the FutureRateHelper does not have a setTermStructure method? Do you think it’s doable to create a CrossCurrencySwapHelper  and to use the setTermStructure method to bootstrap on either one of the two forward curves or one of the two discounting curves (within the multicurve framework) ?

 

Regards,

 

Pierre

 

 

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