Posted by
Luigi Ballabio on
Apr 28, 2014; 3:09pm
URL: http://quantlib.414.s1.nabble.com/Is-there-any-example-using-Quantlib-for-mutli-curve-bootstrapping-tp15189p15214.html
If you don't provide a discount curve, the curve being bootstrapped
will be used for both forecast (that is, determining the cash flow)
and discount.
If you provide a discount curve, the curve being bootstrapped will be
used for forecast and the one you provided will be used for discount.
Luigi
On Mon, Apr 28, 2014 at 4:57 PM, figoliuxi <
[hidden email]> wrote:
> 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.
>
>
>
> --
> View this message in context:
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>
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