Hello,
apologies for the delay. From the bit of researching that I did
on the code, the library doesn't support it. The tree pricing engines
use the same curve for libor forecast and for discounting, and so seem
to do the analytic engines using the short-rate model.
Luigi
On Sat, Jun 22, 2013 at 6:33 PM, Rambo Bachalakuri <
[hidden email]> wrote:
> Hi
>
> Does qunatlib supports HJM/HW 1 factor model calibration with multi curves
> (OIS Discounting and Libor projection )?
>
> Could you please provide sample code if available.
>
> Thanks and regards
> Ram
>
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