http://quantlib.414.s1.nabble.com/Is-there-any-example-using-Quantlib-for-mutli-curve-bootstrapping-tp15189p15196.html
I agree with Andres that one can either construct a DualCurveIterativeBoostrap class or derive a FF basis swap rate helper similar to the ois rate helper. To cater the averaging difference, it's possible to insert an averaging type flag in the ois coupon pricer.
> On Apr 24, 2014, at 11:52 AM, Andres Hernandez <
[hidden email]> wrote:
>
>
> Hi Hengli,
>
> using a different discount and underlying curve is extremely easy in
> QuantLib. The RateHelpers, e.g. SwapRateHelper, accept as parameter a
> discount curve. The parameter defaults to an empty handle. Internally, if
> the discount curve is not provided it is linked to the underlying curve,
> but if it is provided, then the provided curve is used to produce discounts
> independently from the underlying curve.
>
> This will work fine with the EUR curves, as there are more than enough
> liquid OIS instruments to bootstrap the Euro OIS curve first, and then use
> it as discount curve when bootstrapping the different tenor Euribor curves.
> The same is not so easy for USD, where one is likely forced to use
> FedFund-USD 3M Libor basis swaps. In that case I saw two options: implement
> a piecewise-term-structure bootstrapper akin to IterativeBootstrap, but
> which bootstraps the two curves, USD-OIS and USD-3MLibor, concurrently; or
> demand that your environment (I mean wherever you are embedding QuantLib)
> provide also USD 3M Libor vanilla swap quotes. I decided myself for the
> latter, as it was faster, plus USD 3M Libor vanilla swap quotes are readily
> available and liquid for whatever maturity I needed. The vanilla swap I use
> to replace the libor leg from the basis swap, with the fixed leg from the
> vanilla swap*. I end up with an instrument which only depends on the
> overnight index. I then bootstrap USD-OIS first, and then use it to
> bootstrap the libor tenor curves.
>
> *- While I ignore the difference in the averaging of the fed fund rate in
> the FF-swaps and the FF basis swap, this is not a particular issue with the
> second implementation, and would still exist even if implementing the
> concurrent bootstrapping solution.
>
> Mit freundlichen Grüßen / Kind regards
>
> Dr. Andres Hernandez
>
> Senior Financial Engineer
> Business Analytics
> Risk Analytics
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> From: Hengli Zhang <
[hidden email]>
> To: John Orford <
[hidden email]>,
> Cc: QuantLib users <
[hidden email]>
> Date: 04/24/2014 05:15 PM
> Subject: Re: [Quantlib-users] Is there any example using Quantlib for
> mutli-curve bootstrapping?
>
>
>
> Thanks John. I guess in multi-curve, the discounting curve is different
> than the underlying curve. (while in single-curve, they are the same). and,
> it still uses all the instruments, e.g. depo, FRA, future, swap. I'll see
> what i can do from the single curve example.
>
>
> On Wed, Apr 23, 2014 at 9:53 PM, John Orford <
[hidden email]> wrote:
> Oh maybe take a look at the swap example then? I see the discount term
> structure is created from FRA, future, deposit and swap info. Then again
> I may have misunderstood what you're looking for - only skimmed that
> paper quite a while ago.
>
>
> On 24 April 2014 10:43, Hengli Zhang <
[hidden email]> wrote:
> Thanks John. This is very helpful. Although it's still single-curve
> bootstrapping, I may be able to figure out how to do it for multi-curve.
>
>
> On Wed, Apr 23, 2014 at 8:31 PM, John Orford <
[hidden email]>
> wrote:
> Hengli,
>
> The python bond examples included on Github might be of help.
>
> John
>
>
> On 23 April 2014 23:30, Hengli Zhang <
[hidden email]> wrote:
> Hi All,
>
> Just wondering anyone know any sample codes to run a multiple
> interest rate curve bootstrapping?
>
> Ferdinando Ametrano and Marco Bianchetti mentioned in their paper
>
> Bootstrapping the Illiquidity: Multiple Yield Curves Construction for
> Market Coherent Forward Rates Estimation
>
> that they have implemented the algorithms within QuantLib framework.
>
> So just wondering if anyone know any example of how to run this in
> QuantLib.
>
> Thanks.
> --
> Sincerely yours
>
> Hengli Zhang
> MSFM, University Of Chicago
>
[hidden email]
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> MSFM, University Of Chicago
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> --
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>
> Hengli Zhang
> MSFM, University Of Chicago
>
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