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

Posted by Ballabio Gerardo-4 on Apr 28, 2014; 3:25pm
URL: http://quantlib.414.s1.nabble.com/Is-there-any-example-using-Quantlib-for-mutli-curve-bootstrapping-tp15189p15215.html

Yes, but if you provide the discount curve, the curve being bootstrapped will be slightly different than it would if you didn't. That will also affect the cash flow amount.

Gerardo


Gerardo Ballabio
Risk Management

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-----Messaggio originale-----
Da: Luigi Ballabio [mailto:[hidden email]]
Inviato: lunedì 28 aprile 2014 17.10
A: figoliuxi
Cc: QuantLib users
Oggetto: Re: [Quantlib-users] Is there any example using Quantlib for mutli-curve bootstrapping?

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:
> http://quantlib.10058.n7.nabble.com/Is-there-any-example-using-Quantli
> b-for-mutli-curve-bootstrapping-tp15189p15213.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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