Re: Is there any example using Quantlib for mutli-curve bootstrapping?

Posted by figoliuxi on Apr 28, 2014; 2:57pm
URL: http://quantlib.414.s1.nabble.com/Is-there-any-example-using-Quantlib-for-mutli-curve-bootstrapping-tp15189p15213.html

Dr. Andres Hernandez,

Thanks for the reply.
I am quite new to QuantLib and the multi-curve topic. When I am looking at your comments, you mentioned that "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". Do you mean that if we specify the discount curve, the cash flow will not change but discount by the specified discount curve? Or the cash flow will change according to the discount curve, which means the forward curve will be recalibrated to the discount curve. I guess the latter one is how I understand about multi-curve. But I am not so sure how the ratehelper function is doing.