Yes, it has. The library provides helpers for bootstrapping an OIS
curve (in <ql/termstructures/yield/oisratehelper.hpp>). Once you've
done that, it's possible to pass it as a discount curve to the swap
helpers used for bootstrapping the indexing curve (see SwapRateHelper
in <ql/termstructures/yield/ratehelpers.hpp>, whose constructor takes
an optional discountingCurve parameter).
Unfortunately, there's no example code available. If somebody wants
to try and contribute it, drop me a line and I'll get you started.
Luigi
On Thu, Apr 19, 2012 at 7:35 PM, <
[hidden email]> wrote:
> Hi,
>
> Has QuantLib implemented anything to bootstrap two curves (one for indexing,
> one for discounting) simultaneously?
>
> Thanks!
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