http://quantlib.414.s1.nabble.com/Is-there-any-example-using-Quantlib-for-mutli-curve-bootstrapping-tp15189p15217.html
No disservice at all. You made it more clear than I did.
>
> figoliuxi,
>
> Luigi already clarified how QuantLib works, but just to attempt to make
> things clearer (or more confusing depending on my ability to explain), that
> is also what I would expect it to do. Calibrating the forward curve
> according to the discount curve is actually what you would be doing by
> treating the cash-flow independently from its discount. That is, that the
> cash flows value is not changed directly by the discount curve, "but is
> discounted with the discount curve". However, this actually means that when
> you bootstrap the forward curve using the already given discount curve, the
> resulting forward curve is affected by the discount curve. The size of each
> cash-flows will have to be adjusted by the bootstrapping procedure in order
> to make the implied quote match the market quote. Since the consideration
> of the cash-flow in the net present value is by discount, the adjustment
> takes the discount curve into account. This is not meant to suggest that
> everytime you calculate a cash-flow, the cash-flow's absolute value is
> adjusted according to the discount curve. Indeed, if I then take a
> bootstrapped forward and discount curve, and I use them to price a new
> swap, the calculation of the cash-flow value and its discount factor will
> be completely independent. Which, I repeat, is exactly what I would expect.
>
> I hope this helps to make things clearer for you. In my head, the way
> QuantLib treats this topic is very intuitive and clear, but when I try to
> put it in writing, I seem to be making a disservice to the developers.
>
> Mit freundlichen Grüßen / Kind regards
>
> Dr. Andres Hernandez
>
> Senior Financial Engineer
> Business Analytics
> Risk Analytics
>
>
>
>
>
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> From: Luigi Ballabio <
[hidden email]>
> To: figoliuxi <
[hidden email]>,
> Cc: QuantLib users <
[hidden email]>
> Date: 04/28/2014 05:10 PM
> Subject: 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-Quantlib-for-mutli-curve-bootstrapping-tp15189p15213.html>
>> Sent from the quantlib-users mailing list archive at Nabble.com.
>>
>>
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