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OIS bootstrapping with FF/LIBOR basis?
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johnnyfantastic
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OIS bootstrapping with FF/LIBOR basis?
Hi - I'm trying to bootstrap LIBOR/OIS curves simultaneously. Out to 18 months I'm using OIS swap quotes with OISRateHelpers, but past 18 months I'm trying to use FF/3M basis swaps. Is that possible to do in QuantLib currently?
Thanks for any help
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